You can get much of the experience with essentially zero risk (except to your ego) by starting a social club, student organization, hobby website

You can get much of the experience with essentially zero risk (except to your ego) by starting a social club, student organization, hobby website, or open-source project. Unless you are supporting a family, where's the big risk in trying to start up your own business? It's not like you will be reduced to living under a bridge and panhandling if things don't pan out - if you're a good programmer finding a new job isn't that hard.