I recently read of a study as to what personality traits lead to career choices, and essentially, people looking for autonomy opting for entrepreneurship, and well as having less of a need for security, while those with a higher social bent go for leadership. That said, I've read that one of the better predictors of starting one's own company is receiving a windfall, implying that with security some will opt to strike out on their own.
For myself, there have been junctures where I considered starting my own company. The first was in the early 90's when recruiters were calling me continually, and I had a small side hobby business setting up peer-to-peer networks for small companies. For recruitment, the margin back then was 50% on a placement, meaning that once hired, the firm earned 50% of the rate of the employee. As for the other, I felt I did not have enough experience, and I definitely needed a steady income. Later, I realized that working for oneself requires one to be marketing oneself all the time, and even then, having one's own business come with risks, as well as making one's business one's life.
Later, it came down to joining startups. Not quite the same thing, but many of the same rules apply. The reason I would stick with working in corporations is a consistent six (6) figure income and reasonable work hours. At some startups, as well starting one's business, the opportunity cost is significant as startup pay can be terrible unless the company is established and funded, and could be less than zero if it is your own business. Both would require a large increase and inconsistency in hours.
I have a spouse that likes to see me at night, incur high fixed costs of living in Manhattan, and - did I mention? - always been leadership oriented.