I remember when I was in college and painting for a small company during the summer. After I found out how much they charged I looked at the owner and said, "man... I could be making twice as much if I did this on my own." He looked at me and said "sure, but you would never have the guts to do it!"
I took that as a challenge and started to my own business the next summer.
I'd say if you have the business skills, then go out on your own. If your effective there's a lot more money to be made!
OK, back to your original question. Should you buy a business or start a new one? I think it really depends on the industry and your personal strengths.
When I say it depends on the industry I mean how much overhead a particular trade has to get started. Take painting, there aint much! A ladder and a brush and you can get started. On the other hand Landscaping requires mowers, trimmers, trailers, etc.. I've seen instances where it was cheaper to buy a landscaping company with all the equipment needed than it was to buy just the equipment!
Personal strengths are a huge factor. Are you good at building something from nothing? Can you create a professional image for your company? A professional image can include a company name, logo, website, slogan etc...
I think a professional image is what is lacking most in the contracting industry.
My 2 cents (basically thinking out loud!)
-Nathan