I'm constantly considering this myself. Just about to turn 35, in a pretty well paid office job, 2 kids and a mortgage. If I'd it to do over, pretty sure if go straight into electrician apprenticeship. I've never exactly had a dream job (well, if it sad possible to earn what I do now as a push bike courier, its be doing that) , but always swore I wouldn't work in an office.
Stumbled into a temp job in 2008 and have kinda just gone with the flow since, but always meaning to do something more interesting/enjoyable.
Have been wondering lately if it is too late to start over.
Finances for a couple of years would obviously be the main concern.
It might sound stupid, but I also always worried that I might not be enough of a 'lad' for the trade world. No interest in sport or a lot of ****e that I stereotypically think passes the day chatting for a lot of guys.