I finished residency this past July, and I'm in the middle of trying to start my own practice. Like orbitsurgmd said, it definitely is a challenging, yet very educational experience. It certainly is not for everyone. Obtaining funding will probably be the most difficult hurdle, but is not impossible. It would definitely have been much easier had I had one or two years of private practice experience behind my belt. As for me, I have been fortunate to have family members willing to give me a generous loan.
I have no prior business experience, but my residency was sort of a hybrid private practice/academic institution, so I did get some, albeit little, exposure. Regardless, if you have the motivation to learn and have the right expectations, I think it is definitely a feasible venture. It's amazing how much you can learn from google. I, for one, am absolutely happy with my decision, and cannot see myself doing anything else...so far.
I actually have started blogging about my experience. Feel free to follow along.
http://iballdoc.blogspot.com