Starting Your Own Business

Hi! Everybody would agree that there are many advantages to run your own business. You have no bosses, no schedules. You work for yourself and are very flexible. Still, not many people start their own business. So I ask you: why? What are the reasons for this? Is it not enough money? Or connections? Or courage?
In Internet you can find numerous guides how to start working for yourself with a lot of pros listed. But let us list those cons which prevent us from being self-employed. :)