Building a successful SME is challenging, the most obvious challenge being that what ever you specialise in, whether its computing, finance, a trade or even selling teddy bears. chance's are you have the specialist knowledge for that function, but in setting up your business, you have to very quickly learn about all the stuff that needs to happen in a Company. Some of it is going to be new to you. Marketing and sales, accounting and record keeping, hiring the right staff, Invoicing, negotiating terms with suppliers, dealing with the banks, getting your bills paid, and that's without even thinking about your product or service, it can be daunting, but there is always the experience you have already gained in previous employment, the only thing that has really changed is that you now have to make all the decisions.
There are many drivers for setting out on the road of self employment, and they can be those mentioned above, or the positive desire to make/build/inspire/lead or even just the desire to look in the mirror in the morning and be proud of the person you see, what ever it is that drives you, be sure of this, you will be living a life more interesting than most !