I'm currently working on a self funded startup with a few other people. It's not so bad, although legal fees are the majority of our costs. The thing I love so much about the web is that many ideas don't require any initial funding.
We are starting a new company, www.nixty.com, that is more Web 2.0 and less of a tried and true business model. We can do it because we have revenue from our first company. I probably would have sought Angel funding if we didn't have some extra money to invest.