If you own your own business, you get all of the profit (assuming there is any!). If you work harder/better, you are likely to earn more money.
For most standard jobs, that’s not the case and other people (who own the company you work for) make money off your work too.
It’s a risky business (heh) owning/running a business though, you don’t have any guarantee you will make money. But you will probably get a bigger proportion of any worth you are creating.