If you do not get VC, then how can it fail unless you give up? Go back to work, get a job, and keep a side business. Admittedly that can be difficult. I have been denied a position at a top 5 auto manufacturer due to my "entrepreneurial spirit." That was odd to say the least, but probably the correct assumption and the hirer knows better than I do. I digress...
Point being, if you start up a lean company, with no debt, no commitments to leases, no big expenditures then really the only cost is rent and food and maybe a car and some other stuff like that and you can expense those out of your revenue if you do it right, but shoot... it's like free will. There are no rules, except what the government tells you to do and those suck, but they'll remind you if you are late on your taxes and if you aren't making money, then it doesn't matter. Unless you are inc'ed in california, then it's $800/yr, but that is really insurance to protect your personal assets if you get sued... it's all about perspective.
The hardest part of a startup is figuring out all the laws and regulations and getting over the hit by the bus syndrome if you want "real" customers. But the solution there is to create something that doesn't need support. Build a quick hit and if people don't care if you are around after they buy it, it's less of a concern.
It may not be as risky as they say, but it definitely isn't a sure thing and it isn't easier to make more money at a startup than at a corporation. The potential is greater, but the average amount made by startups is probably lower than the amount of salary earned by those who kept the corporate life. A lot of the people I used to work with have multiple homes in different cities and nice cars and are rolling in the dough making six figures. They think I am not taking my life seriously because I don't have a bed and sleep on a blanket and don't watch tv or do anything but write code, but heh...
But that's the thing... I'd rather make $50k at a startup I built with my own hands than $100,000/yr working in a gray cube "slinging code" for some corporation... not everyone feels the same way though and if you don't, probably better to stick with the "real world"...