What unorthadox decision changed the course of your life?

Start my data science career in a 2nd- (or 3rd-)tier midwestern city instead of the same job in the company's NYC office.

I have a lot more competitive advantage, real estate, and discretionary income (adjusted for purchasing power parity) than I would have had in NYC. Yes, the diversity of cultural options (and diversity in general) is not anywhere nearly as wide ranging, but there are only so many hours a day in which I can experience that stuff.

Come as you are. Society and specifically the schooling system never encourages entrepreneurship, but deep down I always knew I was an entrepreneur. It takes balls to actualize entrepreneurship and put it in play. There will be failures, sure, but that's how we learn.