It really all depends on what you feel happy doing. There's no one-size-fits all. Some people are meant for startups, some aren't.

I think it's best to always see yourself as self-employed. You yourself are your product. You can sell your product to a company for 40 hours a week, or you can run a startup (where you still have a boss btw -- they're called "clients" or "users"). Or a mix of both, which is what I do.