You should seriously consider the military route. Its a lot of fun (although I was an officer and pilot), but still, even enlisting, its very rewarding and you will learn a skill set. Its only 2-4 years of your life if you don't like it. You will meet new people from all over the country, travel the world, learn a trade and overall enrichen your life.
If you do start your own business, like cygnus said, provide good service. With the airline pay cuts (50% in a year), I turned my powdercoating hobby into a business. 1 main product, corvette brakes, and am now doing 5-10 sets per week, all because of attention to detail and great customer service.