So I have done this a couple of times and both outcomes were not so great during the journey. In hindsight however, yes it feels great.
First job at IBM - I quit in a heartbeat. Had no idea what to do next. Attended a Startupweekend event and started working on a startup, didn't go anywhere. After a year or so got hired at MSFT as a contractor. Quit that for another startup. Reason - this was just turning into another cushy job, no real focus just some high level strategy etc.
Again quit that startup, without any plan. I was the engineering manager I wanted to try building a startup again. A long time friend had come down so we teamed up. No idea, nothing to go with. We were not in our 20s and had families to support and all that. Tried multiple ideas for a year and we split. I pursued startups for about 5 years got tired and am now a DE at big tech. Like I said, in hindsight all this feels great - but during the journey I felt quite miserable. None of my ideas were taking off, damn frustrating.
If you want to start your own thing, it's best to not look for ideas. My approach is to get to a job where you'll get as close as humanly possible to interact with customers and find out where their pain points are. Are they happy with the current company, what are the issues etc. Try solving those pain points from within the company - and you'll know what it really feels like to run a startup. If you succeed, great the company will support you, you grow and all that. If you figure that the company is unsupportive, quit and start up. By then, you already know the pain points, and you have some idea of how to solve them. You just have to execute.