Starting a company: Yes, I tried that during my freelancing time. The plan was to freelance on the side to keep myself afloat until the company could carry itself. Except things didn't work out: not only did the company not find any clients, as a freelancer I didn't get enough contracts to actually keep myself afloat. The timing of me trying that was incredibly stupid in retrospect; 2002/3 would have to be the worst years in the past decade to try something like that.
The main thing I did learn from that entire episode is that I suck at marketing/selling. While trying again is not completely off the table, I would definitely only try it again with a co-founder who is a good sales person.