"You must be on drugs. In this economy, and with my lack of experience, you want me to start a business?"
Well ... yes.
Many of the best companies started in crappy economic conditions (including loads of great, small companies). In fact, I believe conditions like these are great for starting your own business.
Here's the thing – maybe it works out, maybe it doesn't. But you'll learn, grow and gain valuable experience.
My most valuable learning experience happens to be my greatest failure. (I affectionately refer to it as "my bobsled ride to hell.") I was part of a start-up company that lasted only a year. We did everything wrong. And I learned more in that one year than all other years combined. It also set me up for the career I have now.
Several students/recent grads I know have started businesses. Check out Brendan's Love Sick Clothing, Chases' Wicked Threadz and Tosha's TYPOGRFX. Whether these businesses succeed or fail, the people will definitely succeed. Because they have that entrepreneurial mindset.
I'm not telling you to stop your job search. I'm telling you to take control of your career. The business may grow into something big, or become a nice side project once you are employed, or may be that glorious failure that propels you to something bigger.
Plus, it will give you the answer to the interview question "What have you been doing since graduation?"
And saying "I started my own business" is a great answer.