I stumbled upon some articles about people who started there own company to create and sell their own software, by coincidence they all create software for Mac or the iPhone. These are all greate stories about having a dream, failure and success.

And definitely have a look at the blog of the people of Veiled Games. They have been so kind to share their daily experiences in becoming full time iPhone game developers and while you're there maybe also check out their games.

And what is my story you might ask. Well, before I started my own company in August 2007 I've been working for 4 years as a .net developer in 3 companies (2 of which were consulting companies). After gaining enough experience I decided it was time to work for myself and on a dream of having a company with several people to create fantastic (and hopefully useful and/or fun) software.
Of course starting a software company is a risky business, you need to have a good idea and that idea also has to be sold. So to start safely I continued to do what I was doing for the past few years, be a .net consultant but then as a freelancer. Since day 1 of the company I've been working full time as freelance .net consultant.
This is also my advice to you if you want to start your own company safely. Start as a freelance consultant, this generates a decent and steady income and maybe while you are working for a client you might get an idea or create the basis of an application that can be sold to other companies in the same industry.

The dream of writing and selling my own software is always there and is finally becoming a reality. My first commercial application will be for the iPhone and will hopefully be launched by the end of March, more details about the application will follow in the near future.

If you're interested in more practical information about starting your own company (starting, funding, hiring, marketing...) I recommend the following books of Guy Kawasaki, The Art of Start and Reality Check. These are not theoretical business books, they are to the point and filled with lots of practical and valuable information.