Have the business fail after putting all of your money in it, lose house, lose self-respect, burn out, go back to working for 100k a year (or less because you have nothing to show for the last couple of years).

Everyone always assumes that if you work hard, you will succeed... It's the American dream. But it's far from the truth for many people who try this type of stuff. Most small business owners end up working 70+ hour weeks for maybe a bit more than the 100k some people might get working for an employer, with the added weight of having to run a business and losing everything if it fails.