I've kind of tried it, even worked in a micro-company that was one step removed from it, but I saw how it can be difficult to make any sort of consistent money at all for quite a while. I did that all before while I was a poor student although.
Tynan didn't drop college until you had a semi-consistent cash flow in poker for example. If someone stumbles onto something like that while they're going the default life path, it can be a lot easier to do it.
I'm a software developer and I'm in high demand right now, so having the job is good for me while I establish myself financially. I've achieved many financial goals in 1.5 years of working (paid off student loan, purchased decent motor vehicle, purchased a bunch of geeky tools, etc) so after maybe I save a bit more and buy around $10k in big ticket items (eye surgery, a vacation for once) I might consider going it on my own.
The thing is, after seeing mr. money mustache and early retirement extreme's example, you can just save 50-80% of your cashflow and in 5-8 years achieve financial independence. Once you have that independence, you can then launch into very interesting ventures. Even with the shittiest of wages as markus of EEE demonstrated.