Just out of curiosity, who out there has decided “Gee, I want to go into business for myself!” and actually done it? What business have you started up, what were the big pitfalls that you faced in getting it started, and how’d everything go?
Some considerable time ago a friend and I ran a PA (sound system) business. Started out just doing band based gigs. After a while got a few of residencies (regular weekly gigs). Built a second system aquired a second van ner-nee-ner. At it for four or five years - I forget 
Pitfalls (if that’s what you wanna call them)
Thievery: Had a van full of gear nicked (a whole Turbosound rig, amp-racks monitors etc, 20,000+) it was insured but it took a year to get any dough back. Another time a “party” was staged just in order to nick our kit. We’d secured bins to plumbing with bike locks but the bastards chiselled through them. The Police actually recovered that gear!
VAT. In the UK once you’ve passed some (low) threshold of turnover you have to give 15% of your fee to the taxman. You become a tax-collecter and it sucks.
Customers who didn’t want to pay (and our naivete). Eventually we always asked for all the money up front. And stopped doing business with Nigerians (no really).
All our money went into more kit. Never had any pocket money until the last couple of months, by then we’d already decided to quit.
I don’t know if these count as pros or antis: Have found myself in interesting situations. I’ve had a gun aimed at me. There was a robbery in the club next to our venue and we were packing up when the bad guys came though. We once found our selves doing Hitler’s birthday (no we didn’t know beforehand and there was no way to get out of it). Done Greek and Indian weddings and they’re really generous with food and booze. English weddings were not so much fun (you’re treated as the help and better stay well out of the way) And I’ve done a gig in the big dinosaur hall in the Natural History Museum, thats a cool venue.
What we did right, after a while:
Got lights. Both cans for band gigs and strobes, UVs, smoke m/c and FX-thingies for raves. We’d get a gig for the sound and get the lighting gig as a bonus. Also lights weigh a hell of a lot less than PA gear. Were always considering getting a LASER but never had the money. At a rave the Laser guy would get the same or more as us when we did all the sound and all the other lights
Got decks and a DJ mixer. This should’ve been a no brainer but it took us ages to do this. Also an incredibly loud headphone amp (50 Watts) we got tired of DJs complaing about headphones no being loud enough. They stopped complaining when we let them blow them up.
Eventually got wise and for the last few months did mostly raves. Much less hassle, much more money. Usually cash 
I’ve been freelancing as a copywriter (primarily writing business marketing stuff) for a few months now and will be starting my own business in June. I’ve been fortunate enough to get enough clients that it’s more practical for me to start a small business or at least go under a fictitious name than to continue as an independent contractor.
That said, in my very short time as a free agent, I’ve noticed that if you are providing services, women especially tend to undervalue their services. It can be difficult for anyone to ask for the actual amount their services are worth, especially when you’re starting out. It’s true that in the beginning to get clients you have to sometimes work at lower prices than other service providers and you do have to work at rates commensurate with your experience and expertise in the subject matter. However, when I started out I found that I was accepting projects at such low rates that it almost didn’t make sense for me to take them on in the first place. So it’s very important to know what the going rate is for your service/product and charge accordingly.
I opened my own salon back in '92 and its still going strong (even had to move to a larger building in '97)
Plus side: I am able to be as creative as I wish with out some tight wad of a boss breathing down my neck.
I am able to homeschool my girls, they just come with me and work in the back area
I get to do what I love to do
I can play on the net at work 
Down side: you have to put all of you into a business to get it going and keep it going
I now have several bosses…the clients and talk about tight wads!!
I owned a trucking franchise back in the 90s. And the last few years I’ve been doing IT Support on the side for small- & medium-sized businesses.
I’ve come to the conclusion that owning a business is for suckers. Sure, the money’s good (sometimes), but if you’re really doing brisk business, you never get any time off, you have to reinvest your profit, and you end up working your ass off for less than what you’d make working for the man.
I’d rather run someone else’s business. That’s why I’m back in College at the ripe old age of 34. Although, I should mention that in a lot of ways owning & operating a franchise is sort of like working for someone else. I didn’t like the trucking thing because the margins were pretty thin, and to really make money and get out from under the physical labor of small package delivery took an enormour amount of time, money, and risk. But you can throw money at risk and somewhat allay it.
At this point, the only reason I keep the IT business afloat is because it’s a good tax shelter. Otherwise it’s a wash. And a pain in the ass.
Anyways, that’s my 2 cents worth.
I have, currently self ennployed with a partner. I can tell you it’s a real challenge.
Pros.
You’re you own boss.
You set your own hours.
You decide how money is spent.
Cons:
See above.
wife has her own business. she designs, manufactures, and sells (retail and wholesale) her own line of jewelry.
She’s been doing it full time now for about 4 years: the first was a loss, the second break-even and the last two somewhat profitable, but not enough to live on.
It’s hard damn work though. She works 40 hours a week with chemicals, saws, hammers, grinders, torches. She travels to shows 15+ weekends per year – sometimes driving 8-10 hours. Shes mangages every aspect of it (shipping, billing, receiving, on a small scale yes, but its still the same shit.)
But, it allows her to be creative. She has friends that do it who started just like her that might do 150K per year in sales, have a couple employees.
But, it’s a tough racket. There’s lots of competition. Entry into shows is judged, so there’s a lot of rejection. A trip to New York might be $600 in exhibitor fees, and another $600 in hotels/travelling/parking. So, if she sells $1200 worth of stuff you’d think she broke even, but actually she’s out probably $400 worth of material, and a weeks worth of labor.
She’s gotta do $2500 in a weekend before it doesn’t feel like a complete failure and $4K before it really feels good.
She won’t tell other jewelers (who are her friends) about good shows because she doesn’t want the competition.
But, she really likes it. There’s a big upside to the business. The travelling can be fun. She’s got a good head for business. She’s a little ruthless in her business (and not at all in personal life).
I’d say it helped that she kind of slid into it instead of jumping into it. Because if it was one or the other, she couldn’t have made the leap (and knows others who failed because they thought they could).
It’s also great for taxes.
I’ve worked for myself since 1997. I formed my first company at that time, but was essentially just doing what I’d always done in the IT industry but on a freelance basis. In 2000 I abandoned the IT industry altogether (too boring), and just invented my own ideal business to suit myself. I write and self-publish books which I sell via my own website; I work all over the world as an entertainer and speaker; and I also make a small amount from teaching other people who want to do these things.
Pros: millions of them! Primarily, it’s hugely self-fulfilling and rewarding. I just didn’t want to spend all my working life being a cog in a company machine designed to make the owners wealthy. I wanted to do my own thing, explore my own potential, and see what I could achieve.
I used to dislike commuting through London, so it’s nice not to have to (and saves a lot of money). I didn’t like all the crud that goes with office politics; people playing pass-the-buck whenever something goes wrong and trying to hog the credit when it goes right; laziness and clock-watching and ‘that’s not my job’ attitudes; people with flu kindly passing it on to the entire office; bureacracy and people making up crap just to give themselves something to do and trying to justify their own existence; power struggles over petty and trivial points; being given management directives that were plainly barking mad but having to respect the ‘authority’ (something that is meant to be earned, not just accepted for the sake of accepting); being asked to work on projects that were then canned or cancelled or derailed by someone else’s poor work. So it was nice to leave all that behind.
I like ‘laying down my own tracks’ and planning my own career, and deciding how to apply whatever meagre skills and talents I may have. I love the freedom I have - I can take 12 or 14 weeks vacation a year if I want. I can travel whenever and wherever I want, and have been all around the world. I can be spontaneous - if a good opportunity arises half way around the world, I can pakc my bags and go.
I like the fact that I may earn less money than when I had a ‘proper’ job, but I actually have more fun and good times enjoying the money I have. I used to earn mega-bucks but never had any time to enjoy it.
I like the fact that I’m less stressed, calmer. Office life used to drive me nuts.
Cons: There is a lot of hard work and tough challenges involved. You may see that as a ‘con’ but I don’t. I welcome both.
Starting your own company does require a lot of commitment and perseverance, and you need to go into it with your eyes open and not expect things to be easy. But it is definitely worthwhile and very fulfilling.
After a few years of trying to sell my own ‘artistic’ junk, I came to the conclusion that my work sucks and started as an intermediary between artists and clients. Since eight years I have my own art gallery. It’s going well. knock on wood I have clients in different parts of the world and artists are happy coming to me with their latest work.
The first year was bad. The rent of the gallery was [is] huge and you need to deserve the trust of both the artists and the customers. I was lucky when I could pay for a cup of coffee. Slowly, people started to appreciate the things I’d pick and now I’m very busy.
Like the posters before me: Pro: Freedom. - Con: Working your ass off.
But it’s worth it.
I’ve had an eclectic design business for 5 years. I work full time as an instructor at a small liberal arts college, but on the weekends and some nights I consult on creative designs, everything from kid spaces to landscaping. Cool stuff like putting treehouses in childrens rooms and making bunk beds look like space capsules. Out doors we do everything from water features to underground viewing portals for pools and spas. Very lucrative. I give credit to my first job, a consult for a friend on long island who was very connected. I finished the job and he showed his buddies. And Eclectic Designs was hatched. I’ve considered going into it full time, but I love teaching and am going to only do specialized jobs for the next few years…
Pros: I pick and choose the jobs, the money is fantastic, it paid for my truck.
Cons: Tax season is terrible, I spend less and less time with my wife, I lose time to do a lot of the things I enjoy.
I used to free-lance as a computer programmer, I was incorporated. Back in the '80s and '90s it was great, I could pretty much choose where I wanted to work, and what I wanted to work on. The pay was phenomenal, in the MD range, and I only have a BS (with tons of other training). Then 2000 rolled around, the great recession, software jobs are shipped to Asia and us “consultants” were forced back to reality. I do have some rare experiences that still makes me marketable, but the pay rates have gone down considerably and the pool of jobs is much smaller too.
If I take on a project these days, I just work for a big contract firm. I got tired of all the paperwork.