Anyone ever played without a DM? I want to be a player but also have to DM...
It's hard for some, and I don't recommend doing so without understanding the basics of roleplaying, social contracts, etc. But, if you can do improvisational theatre without getting angry at your fellow actors, you can do roleplay without a DM just fine.
Really, if you just want to hang out with your friends and tell cool stories and play pretend while rolling dice, hell, I actively encourage that, it sounds like a lot of fun if you guys can agree to some common ground rules. Be forwarned, however, it takes a higher level of maturity and 'letting someone else have the talking stick' for it not to devolve into 'I shot you!' 'NO I HAVE A FORCEFIELD' style arguments that we all had as a kid playing legos. You all know what I'm talking about.
There's a fair number of roleplaying games out there that change it up from players + referee/DM/GM/Keeper/Storyteller to other combinations, like revolving GMs, to having no GMs, but giving players points they can spend to direct the story the way they like. They're considered fairly high-end intellectual style roleplay as well, so it's not even gonna get you looked down upon by the nerdherd.