The most obvious answer seems to be: for money. But we also think about our own company for other reasons - for example when the boss annoys us or blocks the inability to pursue our own ideas.
Something holds me back when I write that the main reason why you should run your own business is money. Although - generally - yes, it is true. Usually, when we start a business, we hope that our financial situation will improve.
The problem is that your own business is not winning the lottery. Just setting up a company does not guarantee that you will have a lot of money. Really - a lot of people doing their own business earn as much as they could earn a full-time job. More important (I'm sure more) seem to me other arguments.
For me, this is a crown argument, basic. You should drive your own company so that you do not feel like a cog in someone else's machine. Running even a small business, you work on your own, for yourself and for yourself. You have no boss over you, no one is conducting you, no one can give you instructions. You decide what you will do, how and where and when. However, I warn you that this independence is "addictive" and it is possible that after some time spent "on your own" it will be difficult for you to re-enter the role of an employee.
A sense of agency
It's not only about independence, but also about feeling that you are the author of your successes or failures. Usually you can not blame anyone else for failure. If the services do not meet market expectations, if customers are not satisfied with products or customer service - well, you have to take responsibility for that. But it is similar with successes. Every satisfied customer, every successful transaction - it's your, often hard-earned, success. It's up to you how far you get. There are no glass ceilings in your own company.
The possibility of self-realization
It's very annoying when as an employee you notice that something in the company does not work as it should and you know what should be done differently, but you have no driving power to make changes. Fortunately, in your own company your successes will depend on your creativity. Here your ideas really matter - you can implement your own concepts, test solutions that you think are right, and so also do things that you might not have been allowed to try for example in a corporation.
If you think all these points are around the first - you're right. For me, independence is the key value when running a business. Note, however, that it must not be the same for everyone. Many people do not feel the need for independence in their professional activities, and some people do not want to take on such a total responsibility, which can have financial consequences not only for them, but also for their families. For such people, a full-time job can simply be better.
In addition, for many people who want to run their own businesses, the driving force may be something completely different than the sense of independence, agility and self-fulfillment. What convinces me the most is this - and you? What is the main argument for running your own business for you?