Most small businesses are unprofitable for years after they get started. Running a small business successfully is pretty darn hard. It's a lot harder than just working 40 hr/week for The Man.

Running a small business is a 24/7 operation. You don't get no vacation nor sick leave nor any sort of benefits. Everyone has their hand out to you, usually thinking that since you're a businessman you've got lots of money they can squeeze out of you.