Why do we HAVE to be part of a nation/government?

Ok, this is something I've thought about for a very long time. Basically, from birth, we are a part of a nation that we do not choose, and must abide by that nation's rules or face serious punishment that takes away our freedom. I understand that the government serves its purpose, but I don't really get why we have to be a part of one and how they ended up with so much power.

So what if someone really didn't want to be a part of any nation? Would there be any realistic options for them to be independent of any nation?