Having bootstrapped my own business, my biggest issues were dealing with stress and 'the unknown'. I was unmarried at the time so I could handle the pay decrease and living without niceties.

Cash flow was always on my mind - if a client postponed payment, or flat out refused to pay for whatever reason (happened to me a few times, even from 'established' clients) I would be mentally overloaded trying to figure out how to get by for the month.

You go through such a roller coaster ride of emotion - There is no better feeling of joy and accomplishment than having a client sign a contract and pay with a nice check; there is no worse feeling than sitting at your desk, staring at the wall trying to figure out how you'll pay the bills for the month...

Anyhow, I would never trade the experience for anything, though I'm not sure if I could have handled it if I were married at the time; I would echo Dave's sentiment that bootstrapping is hard but also extremely rewarding. You'll come out a tougher SOB for it, thats for sure! ;)