Zane is discussing why there aren't more entrepeneurs.  I agree with Zane up to a point (I would link to the article, but dammit Zane, once again your permalinks aren't working).  Starting your own business is incredibly complex.  Most employees have no idea of the amount of complexity involved, in accounting, state filings, social security, etc. much less developing a coherent business strategy to execute.  I think he is also correct that the key reason for failure is lack of capital.  Most people vastly underestimate the amount of capital required (I even think that Zane's estimate of $100k is a little low when you count in feeding kids and family).  The problem is that you have to appear as a going concern, otherwise no one will want to talk to you.  If you don't look like you're going to stay around for more than 5 years no one wants to do business with you.  This attitude requires money.  If your ad information doesn't look professional, they'll just throw it away.  If you don't look like you're used to talking to big money, they'll just ignore you.  Most people when putting together a business plan say things like, "It'll cost about $500 for printed brochures, since we only need 100."  What they fail to consider is that most printshops charge a setup fee of at least $200 (in Houston, for small runs, I've found it closer to $300-$400), have minimum run requirements, and charge all sorts of fees for upgrading paper, doing 4 color or 6 color prints vs. 2 color, and more.  At the end of the day you've spent $1000 on printing just to make your brochures look acceptable.  Add this level of skew to all the operations of your business and see where problems start coming in.  Also, most people vastly overestimate how quickly customers will start rolling in.  Talking to people who have started their own business, I've typically found it is almost a year before they start making money off their first customers.  Almost 2-3 before they start breaking even on the business, oftentimes more.

Also, most people, like Zane said, vastly underestimate the competition.  There is ALWAYS competition.  In my current business alone, I've counted at least 5 major players and I'm in a relatively untapped market.

Probably the best advice I can give someone starting their own business (disclaimer:  I'm not starting my own business currently, I'm one of those silver spoon kids), is pick a simple commodity type product or service and make it local, and then expand as you get success.  Do freelance graphics work, be a printer, open up a franchise, or sell insurance.  Something where you can have little "wins" to tide you over.  Every successful business seems to do this.  Joel Spoelsky's Fog Creek Software did consulting work to pay the bills while it was developing its products.  Microsoft contracted out to IBM, etc.  Most insurance agencies spring out of other agencies when their agents take their book of business, or their contacts and strike out on their own.  Same with lawyers, doctors, etc.  The other main advantage to this is that you get the benefit of learning about how to run a business without the risk of having to execute a complex strategy at the same time.  Once you've mastered the business side of things the strategy becomes the only thing you have to focus on.  I think the real problem young people have is the drudgery involved in day to day business life.  They don't want to do the small things that will give them real results and want to focus on the "romantic" high level items.

The other piece of advice is don't plan on gaining industry experience while building your own business. I think alot of people who start their own business out of desperation after getting laid off or fired, decide to completely switch industries into something they know nothing about, and just go for it.  They burn through their funds and get a 9 to 5 job.  Know your industry inside and out before you start your business.  Have contacts you can use.  What this does to you, is gives you a relatively minor income stream.  Income is important, even if it's not enough to pay all the bills, you've got to have something just so you can be selective about which ones to pay.

Finally, I think you should never, ever, ever, count your income stream as solid.  I know alot of entrepeneurs who stumbled onto good times and thought the party would go on forever.  They had enough cash on hand to last for about a year.  When the market turned sour they were forced to go bankrupt because this current economic climate lasted longer than they thought it would.

Another thing most people fail to do is face reality.  When things aren't working, they blame it on the economy, the politics of the business, the nature of the people they have to deal with, everyone's a crook, etc.  Forget all the head garbage and make some money...it really is that simple.

Always look over your shoulder, and always try and anticipate what will go wrong.  Finally, never count on lucky breaks, but maximize them when they come your way.