Self Employed???

Depends on what venture you want to get in to.

Will you be doing the same job but onmyourmown or something totally unrelated?

It is easier to start a business with the skills you already mastered, and then compete with the company or industry you left.
Costly equipment, insurance, taxes, fuel, all come into play.

Kinda need more details on what you want to do.

Me personally started a business in the industry I left and I compete with them on a small scale.
I love what I do but it is feast or famine, and this year has been the worst.

The economy, unemployment, gas price, parts prices and high insurance costs have affected small business badly,this year.
When gas prices go up, everything goes up.

I don't want to sound like a mood killer to you but in today's economy if you currently have a good paying job with good benefits you may just want to count your blessings and stay where you are, and maybe do something on the side to test the waters.

Starting up is very tough unless you have a good retirement fund to fall back on in tough times.