Although people often say that entrepreneurs are risk-takers, one will find that most of them don't jump out of airplanes. On the contrary, while they're not afraid to undertake projects that might fail, they also work to minimize risk. Entrepreneurs look at problems and craft new ways of doing things. DiVA managed to attend tradeshows by appearing at other companies' booths. Entrepreneurs often think and act differently, but the most successful ones are not loners.
Many people leave larger companies because they want to be their own boss.
The simple fact is that no one is really their own boss. An entrepreneur must answer to many people, including customers, investors and employees. Hang out with people interested in entrepreneurial ventures. For example, attend the MIT Enterprise Forum, the WPI Forum at Worcester Polytech and the 128 Venture Forum. Read extensively about entrepreneurial efforts in newspapers.