Imagine you're hiking up a mountain.
There's a familiar route to the top. It usually looks like 2 years in Consulting/Finance, B-School, then perhaps Venture Capital/Private Equity. Thousands have walked that path, and many more will follow. But there's an alternative path - one that's more adventurous and edgy. There are vast valleys to cross, waterfalls to climb, and (inner) beasts to conquer. But the thing about taking the road less traveled is that you'll never know what it has in store for you. There's no map or guide, and the people who have conquered it are so rare that they've become mythologized.
Still, we take the road less traveled. We do so for a chance at greatness. We crave the excitement and glory of venturing on our path, with little regard for what others say or think. We do so because we'd rather die of thirst than drink from the fountain of mediocrity.
To quote Jobs, we take the road less traveled because we're one of the Crazy Ones. Because the people who are crazy enough to think they can change the world, are the ones who do.