It depends on what you plan on doing. It also isn't very glam, and I know the first thing I learned was instead of having 1 pain in the ass boss, I now have many pain in the ass clients instead.
At least with a boss, you need justification (usually) to get fired, customers or clients can just choose not to use you because your Chinese, friends with their enemy, located in the wrong part town, you pronounce "nuclear" wrong, or any other thing they can think of.
Tax issues are also a major headache I hadn't considered really before I started up. When you get your paycheck, and the taxes are taken out, the employer is paying similar amounts. When you are self employed, you are now paying those too, so it is like doubling what you need to set aside. It becomes all about being able to deduct all your expenses, and then trying to move your "living" expenses over to your business and make it a cost of doing said business. This happens before taxes are applied. To better understand this, say you make a $100 dollar paycheck. The taxes take 25 bucks, leaving you with 75. You pay for your car's note for $50, you now have 25 left. If the car were under your business, then you pay your same 50 bucks, but now you are taxed on the remaining 50, which 25% in our example, amounts to 12.5, leaving you with 37.50 instead. This is over simplified, but I think you can get the idea.
Then came the insurance gambit. As a w2, I needed only benefits, which generally included all my health, dental, vision, 401k, etc. Now I have to pay those instead for myself, as well as liability, errors and omissions (if you are in service sector), disability (workman's comp too if you ever get employee, disability is for yourself in case you get hurt and unable to work), as well as higher cost coverage for my shop and car. In most cases I can deduct these as part of cost of doing business, but in some cases I cannot.
In the overall scheme of things, the biggest shortfall of starting a business is the capital to get it moving. There are certain things you might be able to just grow into, while other are required for you to get started. This money upfront before you start getting money coming in is usually the killer, or at least it was for me. It takes cash or credit to get gear, rental space, advertising, phone lines, insurance deposits, rental deposits, etc. all the while your own bills can't be pu ton hold, and money hasn't had a chance to come in yet.
Then there are the liabilities of whatever you are trying to do and keeping those separate from what you have personally. People sue, and in some cases, they may have just cause. If they win against you, do they get your house now to cover the judgement? You see where I am going with this.
But after all that, if you still feel like starting it up, I would pay a visit to the
http://www.sba.gov/ website. It is full of so much information you will have hours and hours to go over. I would also recommend doing some reading on how to write business plan and actually do the market research yourself. Many great ideas were born in the garage, so if you really like the idea, go for it.
Good luck, I wish all aspiring SB owners luck.
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Oh, and as for is better than working for the man, yes and no. On one hand, I get more job satisfaction in a good days work, but I did take a pay cut in the sense that I am now working more hours per day than I was before, but making the same amount. Eventually when I grow it even more, and can hire more people to the crap I NEED to do to keep clients happy, I can shift my attention to the stuff i LIKE to do, and have the grunts do the crap work and then have them complain about me on their forum postings later.