I did this. It was scary because I was leaving a very well-paying job, but I was so excited for all the possibilities. In a year, I produced tons of awesome code, that did what it was written to do. But the product itself floundered, and never took a shape that I could believe in. I even tried hiring others to give it a fresh take, but that didn't work.

In the meantime, it sped the end of a relationship. She seemed as obsessed with her own goals of starting a family as I was with my goals of starting a company. There was little middle ground. My bank account ran dry sooner than expected. I didn't find quite enough freelance work to stay afloat.

Finally, faced with a rapidly shrinking runway, the prospect of 1.5 years intense coding work amounting to nothing but uninspiring demos, and nobody else but me invested, I imploded. Meltdown. I was grasping at every straw, but it was all just that. Straw. The SO was gone. The money was gone. I'd taken the initiative to start interviewing, but nothing was connecting up.

This led to one of the darkest depressions of my life. Things are only just starting to look up now, as I've finally had a job offer with a company that I'm truly excited to work at. And the work that I did while independent played a big part in landing the job. I can't say whether it was 'worth it' - only that this is how it happened, and I'm very grateful that it did. I feel it did not have to be so miserably hard.

So, I suggest having even more cushion than you think you need. Keeping your relationships with colleagues warm. Pursuing other plans, contracts, or job prospects while you work on your idea. If you do not already have very supportive family and friends around who believe in what you're doing, ask yourself if you have the personality to really believe in yourself that much. Anything so it does not have to be like "I must succeed at this or life is over."