Well in my case, if I will be given an opportunity to own a business, I will. Now I can't do that for I don't have the necessary capital even for a small business. Unlike when you are hired in a job, you get bossed around. If you own the company, you are the boss. Besides you get an ROI, not a salary. I had an acquaintance who told me his experiences that he got more money when start to set up a business of his own than when he was employed by someone else. Also, you don't get fired when you own a business.
However, setting up is risky than applying for a job. You must have the necessary capital for it, a business plan, marketing plan, SWOT analysis, etc. When you expand your business, you probably need more people to hire to help you operate it well.