Yahoo has a piece titled 6 Smart Ways to Escape from a Stagnant Job which I originally thought would be about how to get a new job. But it's really about developing your own business (while you're still working), building it up, then making the transition to doing it full-time. It's not that detailed of a piece, but it does cover all the basics.
The piece says that you "may" need to keep working at your current job while you build up your own business. My advice: you need to stay at your current job until you have some assurance that your new business will thrive. Just like you shouldn't quit your old job until you find a new one (if you're moving from job to job), I tell new entrepreneurs to keep their day jobs until they get at least a decent start on their new business.
I know some people will disagree with this advice -- they'll say the only way to start a new business is to plunge in with everything. This has certainly worked for some people, but it's risking your greatest financial asset without knowing whether or not you're going to have a steady income. This is just too great of a risk for me.
What do you think? Which is the better way to start your own business -- build it up while you work or quit now and start your own company?