I just turned 30 about 6 months ago and spent a lot of time reflecting on the ups and downs of the past 10 years. To directly answer your questions based on my own experiences:
1.) Take the challenging job - YES. Of course, this is somewhat vague advice. If I had it to do over again, I would have taken the job at Google (now Facebook, AirBnb, Uber, Dropbox...) rather than joining the small startup right off the bat. The startup world is full of charlatans, and working at a more established company initially will give you credibility, engineering skills, a network and savings that can help you navigate sharky waters. I would have done the startup 2-3 years later. Instead, I did the opposite, which worked out fine, but meant that I had to learn a lot of lessons the hard way.
2.) Get a higher degree - MAYBE. I got the higher degree (MS) at a top school. But, I already had the undergrad degree which would have gotten me in the door at any of the aforementioned companies. I enjoyed grad school, and it gave me an opportunity to explore lots of fun subjects that I missed in undergrad due to requirements. However, it delayed me from learning hard lessons in the real world that probably would have benefited me more. From a financial standpoint, I don't think an MSCS is worth it, even if its free, because you'll come out ahead with more years of real-world experience and an additional year(s) of salary as a software engineer.
3.) Start something of your own - YES. Do it. But do it when you have a solid group of friends that are willing to take the plunge with you and an idea that you are confident in (have vetted through customer development or some other means). I did it when I was 24 or so, first as a contractor and then launching several products. Working as a contractor allowed me the freedom to travel through South America, which was literally the best experience of my life. My attempts to start a company were not as successful... I got scared by my dwindling bank account, was unsure of whether the idea would work and hastily got a job. BUT, my cofounder stuck with it, found another cofounder and is now running a multi-million dollar company. Thus, my advice to do it, but when you're good and ready, committed, and have friends that are 100% bought in.
As for other advice, I think the biggest thing I learned in my 20's is that sometimes you've gotta stick it out through the tough times. Without going into too much detail, I passed on several opportunities that would have dramatically changed my life, largely because of my own stubbornness, arrogance, and view that I was too good to be stuck doing work that I felt was beneath me. I'd echo the comment about "pick one thing and get really good at it," but I would disagree that you need to "do it for the love of doing it." Sometimes you're not going to love it. My friends/acquaintances that took calculated risks, and kept going where others wouldn't were the ones who ended up on the cover of Forbes (literally).