The state of Oregon at least has programs specifically targeted at you. Basically, you get unemployment money while devoting yourself full-time to building your business. You don't have to apply for outside jobs. It's the "Self Employment Assistance Program."
http://www.oregon.gov/EMPLOY/ES/SEEKER/pages/self_employment...
I've heard the guys at Urban Airship in Portland made use of the program. They just raised $25 million in funding this past February.
From a tax perspective, it's a pretty enlightened policy.