I have a full time job and have a growing side business that I am going to be transitioning to my full time job in December.
On the one hand it is critical for myself and my family to have income while we bootstrap. Our business is in the position where we need money to go full time but can't get money till we are able to devote full time effort to it - and even then it's not a guarantee that we will make enough in the first few months to sustain my family and my co-founders families until we have a market breakthrough.
Oh the flip side, not only is your life insane but nobody really wants to touch you because you can't be 100% devoted right then. Investors don't like part-time people, partners don't like part time people and you have a hard time recruiting people to work part time on the side. Not only that but there is a constant nagging feeling in the back of your head that "you're late to the party" and some competitor is going to eat your lunch simply by putting in more hours.
So there are goods and bads and I think the answer is that it depends on your life situation and what you are trying to build.