Sole traders do not have protected liability. The importance of this will depend on your field of work and potential liabilities.
If you decide to close a limited company there is a formal winding up procedure to follow. You will need to prepare final accounts for submission to HMRC along with tax computations. There may also be further documents to file relating to capital distribution. Once all financial matters are resolved the company can then be struck from the register.
If the company has previously made a loss you may want to discuss this matter with an accountant. When a company stops trading any corporation tax losses previously recorded by the company will be lost. In normal accounting you would carry them forward to offset against future profits of the company. The day the company is closed the opportunity to offset any losses is gone. It is not possible to use the company loses against profits from your sole trading activity.
Will you need a company in the future? If so, you may want to make the limited company dormant rather than close it. You can then reuse the limited company at a later date if required.
Finally, you will need to inform all customers and suppliers that you are now a sole trader. New contracts and/or agreements may need to be issued and signed. Your bank will need to change your account to a personal business account. All stationery and websites will need to be updated.