Took the plunge and left a captive position to freelance. A year into freelancing (in 2006), I developed my own SaaS service and grew it to $80k monthly revenue. Did really well until the market crashed in 2008. Built a few other SaaS services since then with moderate success.
Also started a small advertising agency in 2013 and grew that to $50k monthly revenue. After 3 years of doing that, I realized that scaling an ad agency was really hard. There is a lot of over-head, high churn and I didn't enjoy it.
I am now back to developing a mobile app SaaS service and an educational SaaS service.
To sum it up - my biggest risk that paid off was starting my own business.
Also started a small advertising agency in 2013 and grew that to $50k monthly revenue. After 3 years of doing that, I realized that scaling an ad agency was really hard. There is a lot of over-head, high churn and I didn't enjoy it.
I am now back to developing a mobile app SaaS service and an educational SaaS service.
To sum it up - my biggest risk that paid off was starting my own business.