In my experience, being an entrepreneur is all about taking on and managing risk well. An entrepreneurial spirit almost enjoys risk. At a firm, you usually don't get much material risk exposure to manage, so entrepreneurial individuals end up seeking out opportunities that can give them a more direct handle on their risk exposure (and any subsequent rewards). More often than not, this means starting a company where you largely decide which risks you're comfortable accepting, and which risks you prefer to avoid. The thrill is in navigating those risks using your guile to deliver value much above the expected risk premia for your domain. I worked in an investment bank for a few years, but the risk environment was too restrictive for me to really make a mark (from a job security perspective also, I'd often see lifers get the boot, so never <i>really</i> felt comfortable, even though on paper I should have been). Thus I quit, started my own company, took on a great deal more risk, but still experienced more work satisfaction. I think what I like most is the ability to take your professional future by the horns without any artificial constraints holding me back. For me, what it comes down to is this: entrepreneurs despise restrictions, and modern companies can't seem to exist without them.