Not having to answer to investors saved a ton of hassle (and having all the equity and control at the end is really spiffy) but (to echo some of the other comments here) there are a few pitfalls:
- Don't be a tightwad. In my first year, I would avoid spending wherever possible and often made do with free tools rather than spend cash to buy a perfectly good commercial solution. I quickly learned that's almost always stupid: If you can make a problem disappear for good by buying the solution, reach into your wallet and pay the cash.
- You should be marketing before you've even started development. Marketing isn't just advertising -- it's the social component of design. Where you're 'making something people want', marketing identifies both the 'people' and the 'something' (that is, the market for your product). If you don't have those, you'll end up with a spiffy 'make' that nobody wants.
Erik Sink provides a great summary of the topic under his "Marketing for Geeks" articles (at http://www.ericsink.com/Marketing_for_Geeks.html ). I'd call it a 'must read' for any software entrepreneur.