I'm currently going through the beginning stages of this and I'm finding it incredibly difficult to focus and build something while also having a full time dev job that of course requires over 40hrs of work, plus time spent commuting everyday.
It's really about not being financially independent that keeps me at my job but I can't see why you'd stay at your current job if you can afford to quit and focus entirely on your new venture.
To me it doesn't feel like a healthy option to be essentially working a part time job on top of your normal job while also trying to maintain balance in your life, there simply isn't enough time for it all.
Maybe this is crazy, but it almost feels like getting fired with a severance (something most of the big companies do, but not something you'd get from a startup I'd imagine) would be a blessing in disguise because you'd have a steady stream of income for a couple months allowing you to focus 100% on getting off the ground.
Of course if it doesn't take off then you'll have egg on your face and be in a much much worse position.
edit: It looks like most people are talking about doing this to build a unicorn billion dollar business, but I'm talking just generally I guess in regards to starting a new business.