Chris Dixon's blog post, The Ideal Startup Career Path is spot on: if you want to start a company, go work for a startup. I'd add: find a company started by someone who comes out of the entrepreneurial community and has a really big idea, join as early in the company's lifecycle as possible, and make it clear through your actions that you will wear any hat needing a head on any given day.
At my last startup, we actively looked for and hired entrepreneurial people and several of them went on to found their own companies. The ones I've given support to include Greg Yardley with Pinch Media, Viva Chu with Handipoints, and Rob Leathern with CPM Advisors. There are others, and then others who will or are starting something. For a company that only had some 30-odd employees, that's a pretty good conversion rate.
I'm tempted to say that we made it look easy, but I'm pretty sure what went through their heads was "if these idiots can do it, then I certainly can." This realization, in its many forms, is certainly the spur to more startup formation than any other factor ever will be. I meet so many would-be entrepreneurs with good ideas who just can't figure out how to start. Who worry about knowing what to do next. Who are waiting for some intangible starting gun to go off, some sign from heaven. There is no starting gun, there will be no sign from heaven. You just need to know that it isn't really that hard.
Watching someone else manage the building of a company provides the crucial lesson: there's no special secret magic. Go work for a startup, and you'll see.