My personal view on this topic is a bit different from Steves. I'm a bit more conservative and wouldn't just quit a job as soon as you find something else you'd like to do. I've written my thoughts on the subject in these two articles:
Making the Transition to Doing What You Love for a Living | Inspired Money Maker - How To Make Money Doing What You Love Transitioning to Doing What You Love Tip #1: Build a Warchest | Inspired Money Maker - How To Make Money Doing What You Love
I kind of see the "I Quit" thing as the easiest thing to do as far as exit strategies, but I don't think it's always the best option.
Also, from the point of view of being a manager I've seen people actually do that as well, coming to me and telling me they quit out of the blue with no prior warning. When I asked them what they are going to do, some of them quit for another job which pays a dollar more per hour which I would have gladly matched if they came and talked to me before quitting, or in some instances people have quit with no plan whatsoever of what they are going to do next. I then heard from someone they went to work for an ice-cream store a few months later because they couldn't find a job.
In other instances I've heard of people talking about starting their own businesses because they saw that their boss is an "idiot" and doesn't know what he's doing, and then when they start their business they realize it isn't as easy as they thought.
I also think it's really important to make sure you're not quitting because you're trying to run away from your own ego-self problems. That kind of thing will just follow you around from job to job, from business to business.