I've seen people who left day job to start companies and became very unhappy very quickly (within 6 months). The key thing is to have the right motivation and to manage expectation.
If the primary reason to start your own company is to look good in front of your other fancy friends, then you'd better not do that in the first place. Doing startup is roller coaster. You won't look good in front of others all the time. Actually, for a long period of time (many months ~ many years), you may look pretty bad, in terms of product metrics, income, company reputation...
Some of my friends asked me whether they should start a company, I typically suggest them to answer these questions first:
* Have you made over $10k on your own? Not from your day job salary. Not from public stock market. Making money needs practice. You start a company to make money. You'd better have some experience of making money first.
* What's your longest project? Have you worked on anything for multiple years? Grit & patience need practice. Building a successful company takes multiple years, even decades. Be prepared.
* When was the last time you were insulted by others? If you grew up in a very comfortable environment (rich family, great schools -- because your parents went to those great schools too, great companies, ...), probably you already get used to compliment for your entire life. Now you are going to face very very diverse set of people who don't know your family background or don't recognize your family name, if you start a company. If you are the kind of people that are easy to be upset, you'd better stay in the friendly corporate.
* What happened when you broke up with your ex or your friends? People relationship is complex. You'll experience a lot of bad people relationship if you start your own company -- breaking up with cofounders, firing employees, fighting evil investors, fighting con man, fighting bad reporters, dealing with malicious users, dealing with competitors (sometimes in person)... All kinds of drama. You'd better practice this kind of things before starting your own company.