In today's state of the economy, being employed doesn't guarantee you security as it did in the past. One minute you might be working for a company which seems to have everything figured out.
The next minute you start hearing rumors that your CEO stepped down owing to bankruptcy. Sadly, the whole lot of you might be forced to go home without any form of compensation as is the case with bankruptcy.
We all therefore need something to fall back on. Not just so during the times everything has gone bad, but also during the times things are seemingly good because its always a struggle trying to allocate the little we get from being employed to cater for mortgages, food, clothing, medical buills etc.
I therefore strongly advocate for being an entreprenuer.