I started doing my own thing about 8-9 years ago after finishing a stint in finance/development. It's been turbulent but the last two years have been our best yet though the 2 years prior were rough and now I am looking at building a few new ones. It took a bit of time for us to get traction as well.
Some thoughts - if you don't have to quit your full time job to start the kind of business you want to, don't. Any business though does start with solving a problem that customers are willing to pay to have solved. At some point you have to decide if you want to build a lifestyle business/localized small business that remains that way or aspire for the kind of change the world type startup and I think the approaches and industries are different.
If you're interested in a startup - highly recommended book (you can PM if you want my summary notes) - http://www.amazon.com/Do-More-Faster-TechStars-Accelerate/dp/0470929839
Also recommended are Paul Graham's essays and thoughts (the co-founder of a tech incubator/vc fund in Silicon Valley) - http://www.paulgraham.com/articles.html
Start reading blog posts in your field if you haven't already started to do so. I use google.com/reader which is how I get through the information I do in a day.
Here are a few posts that I think are useful to read/consider:http://www.bothsidesofthetable.com/on-entrepeneurship/http://finance.fortune.cnn.com/2011/07/11/the-illusion-of-job-stability/http://techcrunch.com/2011/05/28/what-makes-a-startup-successful-blackbox-report-aims-to-map-the-startup-genome/http://nat.org/blog/2011/06/instant-company/
(some useful, mostly free applications available)
The world really is different - but in a good way. It has never been easier and cheaper to start your own business or to find a market. It means a world of rapid change - but that's both a good and bad thing because it also means potentially more competition though the audience is so much bigger.
Working for yourself or building a business yourself can be extraordinarily lonely. Make sure you have a good support network of people you can talk to - a business partner can be good for that but co-founders are also generally recommended. I bought out most of my original partners but am looking at partnering for the new businesses I am going into.
Finally, though I am a believer that luck is made, good luck in building your business!