I've been doing it for 2.5 years now. Its gone from "Ooh, I can afford to buy myself a Wii" to "Oh, erm, it appears that I made more sleeping than I did while awake three weeks out of four last month".
I've blogged pretty regularly about it. See profile.
My advice: find a job which is OK with you having a side business. I have an arrangement with my company that is mutually beneficial: I firewall my extracurriculars from the day job, I bring them the stuff I learn about engineering and business, they wish me the best of success and officially ignore the existence of my "personal hobby".
Make a business which is designed to have returns which are super-scalar to your time investment. I am religious about automating, outsourcing, or eliminating just about anything that I have to do more than once in a blue moon, even if it only takes me 5 or 10 minutes to do manually. My entire life is a series of 5 minute increments and I don't want to waste any licking stamps. (Somebody does that for me these days.)
Remember that there are more important things in life than working. If you neglect them, the lack will bite you in the hindquarters, both in more important respects and in impacting your work/business.