Almost everyone would, if they could, start a business or do their own thing when it comes to making a living. If you just ask people, they'll tell you themselves.
The problem many have with actually making it happen is that people don't think like entrepreneurs. Entrepreneurs use money and time to invest -- in learning, in people, in development of themselves and their business ventures.
Many people who haven't started their own business ventures aren't holding out because they lack ability. It's because many of them think like consumers. Consumers see a price tag on everything. Why do I have to pay to have a website? It costs money to get the training I need? I want to do it, but I can't afford to start this venture. 
If you're serious about starting a business, striking out on your own, doing your own thing, start thinking of your resources as investment tools -- time and money and energy are invested into making you (and your business) better -- instead of expenditures.
Investments bring a return, while expenses go up in smoke.