I do both, regular job and side business of my own... regular job for the stability and side business for extra income. But for me it's easier because my business model is fairly low risk and I don't have to worry about any overhead costs since everything is online and my house is a freaking warehouse
. My business and my family's business are very related though so I had a good jump start since I've been in it since high school, and I'm considering leaving my current position to rejoin the family business.
So moral is, do it in something that you know very well, and in a field where you know the demand and the market. For example, if you are an IT guy and you open a bike dealership, it is probably gonna flop. Also, if you can start off doing it part time after work, you will have a major jump start, but that usually seems to only work with online businesses as brick and mortar businesses are damn near impossible to start up if you can't commit business hours to it.
Make damn sure you have enough money saved up if the business fails to last you long enough to find a stable job. Unless you can find investors or you are willing to default on some loans, don't go in over your head and spend a huge amount on your initial investment, and put it all on credit, because that will destroy you if you aren't instantly successful. And incorporate, if nothing else then to cover your ass.
Of course, this is a pretty conservative way to go about it, if you really are the next Michael Dell, then you won't get anywhere with my plan, you would need to take some much bigger risks.
Running your own business is definately worthwhile though, I feel a much greater sense of responsibility and self-worth because my contribution and work is directly porportional to the amount of $$$ I get or lose. Working for a big business is so different, my team hasn't given me shit to do for 4 weeks no matter who I ask and they won't place me on a different project, but I'm gonna get paid the exact same as someone who is busting their balls for the company and working 12 hour days.
But there are times when it sucks, like if you drop the ball on any of your customers, you lose money directly whereas if you fuck up in the corporate world, you just get a bad review and are told to try to improve next time. And you will work long hours, if you aren't then something is wrong.
Oh yeah, and I've been drinking, so ignore everything I just said, hell I don't even know what I just wrote