After my most recent participation in dot-bomb mass pinkslipping, I tried doing that for a while. The problems I encountered were:

1) Now I had to be the sales staff, the clerical staff, the PHB, and a whole bunch of positions which I hated and was unsuited for
2) When the whole economy sucks, it may be no better to be on your own
3) You may not make enough money for several months or longer, for me it seemed like I'd be OK after about two years... but I couldn't afford to try for more than one year
4) Unless you lie about doing even unpaid work, kiss your unemployment check goodbye

I now work for local government. Despite Ahnold, I expect to keep this job until I retire. Pay's lower than private sector was, but I hated the whole IT thing of having to change jobs every 2 years. If you're willing to relocate to a non-urban area, you may find that there is little competition for such positions, and the notion of buying a pretty nice house for $1000/mo. has something to be said for it. Negligible traffic and ample, free parking are kinda cool, too.