Creating something from scratch is very exciting, also working in a small but well focused group gives you satisfaction of achieving something meaningful on daily basis and this could be a big plus. Apart from that if you are passionate about the idea/product then nothing else would bother you anymore.
That's what Marty Roesch was thinking when he started the Snort IDS project, as an open source project, on the side, with no real hope of turning it into a company.
SourceFire went public with Snort last year.
There are ways to do this without going for broke.
