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it depends on several issues, first of all the personality: where people tend avoid risk to start business by going to regular jobs, more over some personality qualities and life style and culture will effect the decision, for example a person came from a business culture will like to think to open a business more than going to work in a regular job because he has the culture support, the required resources and some family experience and networking.
now the important is how to choose whither to open a business or keep your self in a regular job, actually only your self can answer this question, but here some question to answer that :
which opportunity will achieve my personal goals : ex more money, higher life style, more personalty satisfaction
what is risk you are able to take to open new business
do you know what type of business you will open and why this business
can you define the opportunity,
do you have finance,
did you done your feasibility study
what make your business different
do you have the skills to manage the business or you should build new skills
if you can answer those question you will know which is better for your
If you have capital, focus, dedication and dream of coming big then start a business. If you have everything above but NO CAPITAL then be an employee.