I started a couple of profitable small businesses while working a ton of hours management consulting, including a headphone website where I used all my vacation to travel to China to get my products manufactured cheaper. I was hoping to do a few things on the side until it made sense to quit my day job, but I found it never made sense to quit my day job.

More incredibly to me is FeeFighters (http://feefighters.com) CEO Sean was

1) Raising a VC round

2) Having his first kid

and 3) Working full-time at BCG

All at the same time (May 2010) Any one of those are enough to make you go crazy, but he managed all 3. (note: FeeFighters is not profitable)

He also previously started http://tss-radio.com and bootstrapped it to a spot on the inc 500 list, all on the side while working at a VC firm (Longworth) and then while at BCG (management consulting).