I own my own company, we do small time marketing and consult with car dealerships about customer retention.
I've never worked for anyone else, and hope I never have to.
Basically what you need to make sure you know is what you're getting into, what kind of upfront costs, what paperwork you need to file for the state and federal gov'ts, how you want the company to be structured, sole proprietership, partnership, corporation, LLC. Draw up some good business plans, or have an accountant draw them up for you.
And you also have to be motivated by money, if you're not you wont survive. When you work for someone else, you can afford to be motivated by care and compassion because you make the same wage regardless, but on your own, the dollar is your only friend.
If its any good advice, my fiance's stepsister was a nurse, and now runs her own nurse staffing company bringing home about $300,000 for 1/2 the time she used to work as a nurse.
Good stuff huh?