In response to a question about why people start their own businesses, Seth Godin writes:

The people who successfully start independent businesses … do it because we have no real choice in the matter. The voice in our heads won’t shut up until we discover if we’re right, if we can do it, if we can make something happen. This is an art, our art, and to leave it bottled up is a crime.

This jibes with a recent article in The New York Times: “Just manic enough: Seeking perfect entrepreneurs“.

Of course, another common reason may be a desire for control over one’s work environment.