Start a business, not a startup. You will have much more control and independence if you aren't desperate for funding and growth, not to mention you are much more likely to succeed. Startups(defined as extremely risky, high reward, growth oriented businesses) are not a very rational option for most people unless you have circumstances that mitigate the risk/stress. Also don't start yet another social/cloud/education/trendy thing here business, start something allows you to leverage your unique set of skills/knowledge/interests and experience.

Also, give up early! When you don't think something isn't worth pursuing anymore, figure out why, and don't be afraid to give up and try something else. Not every project is going to be successful and there is no shame in failing unless you have badly/unrealistically set expectations to the people you work with, in which case they are going to be rightly pissed.