I've had both really.
I went self-employed after I left Uni and that didn't work at all. I survived, and came out the other side debt-free, but it was touch and go and it was really only the fact that a friend knew of a job going at exactly the right time that I survived.
I also took a massive punt, quitting that job to move 250 miles away to a specialised engineering job that I essentially knew nothing about, apart from what I'd read at Uni. That went really well and 5 years later I'm in F1. That could turn out to be a huge gamble in its own right, with the massive cost cutting hitting the sport, but that was entirely unpredictable 3 years ago when I started.
Sometimes the gamble works, sometimes it doesn't, but you should never regret attempting something and failing. Regret the stuff you never attempt instead.