My one recommendation would be to have a plan. Don't quit your job or start a startup just to do so - just because you feel like that's what people on HN do. Do it for a reason - an organic solution you've derived form a problem you see in your life is best. And have a plan, as to how you want to attack that solution and problem. While the plan will likely become obsolete in a week, it helps you iterate when you've already thought about where you're headed...

To answer your question directly though; no, there's nothing wrong with quitting your job.