[74-911]

Yes, and Yes I would definitely do it again.
Caveats:
Small co.'s can be just as bumbling as large ones. Is the co. in strong financial condition, is it liable to be bought out?. Talk to current employees if possible about working conditons, advancement opportunities, management, etc. Due diligence is the operative word for small companies.
The above is from my perspective as a partner in a software business we started in 1978 and sold in 2003. I walked out of a well paying, secure job with great benefits in 1978 to do it. It provided well for my family and is now funding my retirement. If you start your own business, the minute you hire your first employee you become management and the problems begin.... Are you willing to forego a paycheck this month in order to meet payroll? We did it more than once in the early days.
Despite the assurances otherwise of the co. that bought us out, the 30 employees we had in 2003 are now down to 3.

If you go the self-employment route and you fail, you have no one but yourself to blame. But if you succeed it will be the best move you ever made.

As one sage once said, our true regrets in life are not the things we did but the things we didn't do.