Although risky in terms of the likelihood of failure of a business, I think at this point in time funded start-ups are actually significantly less risky careers than regular jobs.
It's good to know exactly where your money is coming from for the next X months, and to know for sure that no one can arbitrarily fire you so long as you do your job (your job being to ensure there's enough money to cover your salary, whether by fund-raising or, better, making sales).
Funny story, I almost took a job at Lehman. I had an offer, but I hesitated to take it because I knew it would seriously decrease the chances that I could launch my start-up successfully... I told this to my girlfriend, and she pointed out that starting my own business was many people's life dream, and it was within my reach, and might be a once in a lifetime opportunity.
On the other hand, the Lehman job would still be there in a year if my business failed.
It's good to know exactly where your money is coming from for the next X months, and to know for sure that no one can arbitrarily fire you so long as you do your job (your job being to ensure there's enough money to cover your salary, whether by fund-raising or, better, making sales).