It doesn't hurt to learn the ropes on someone else's dime.

I started a web development company right out of school in 2002. The hardest part was winning business because I didn't have much of a network. If I were to do it again, I would prefer to work somewhere first for a couple of years.

However, if you can't find the right opportunity and you feel ready to start a business, then go for it! It worked out okay for me :)