I got there a little while ago and started my own little business (a mobile development company, predominantly for Android). I've had a startup, worked for fairly large web-name, done a bit of consulting, and worked freelance. The business is, by far, the hardest in terms of stress. I can't say I don't spend any time at all envying a few of my friends with stable jobs, salaries and work hours, but it's been an eye-opener in terms of personal growth and my own capabilities (occasionally a lack thereof) and I can't recommend it enough. My own endeavour may well still fail but I've learnt more about myself and my abilities than I'd ever have a chance to in a normal 9-to-5.
I had a recruiter contact me for a developer position recently at a good, interesting company. I politely declined, saying I'd started my own small company. He said again that it was a rare opportunity, likely to disappear, and began going through all their upsides again (or, at least, the ones he figured would appeal) and finished with "and they have a foozball table!"
I don't want to belittle fulltime jobs, fun working environments, or large companies, but in my opinion the chance at working for yourself - even if you suck at it - is worth more than regular access to a foozball table.
Best of luck with your dream. I'm pullin' for you, brother.