Rashi (25;22) quotes the well-known medrash that whenever the then-pregnant Rivkah went past the yeshiva, Ya'akov kicked to come out, and whenever she went past a place of idolatry, Esav kicked out. The question is like this: Chazal reveal to us that an angel teaches torah to the child in its mother's womb. If Ya'akov had the best teacher (an angel), why did he want to get out and go into a yeshiva with a 'mere' human teacher? 3 answers I know of:
1) When one is born, the Torah the angel taught
you is forgotten, so that you should work yourself to learn the Torah and not just get it as a free gift. Ya'akov knew this, and so wanted to get out already so that he could work on acquiring Torah himself (Rav Shmulevitz).
2) Ya'akov was learning from the greatest teacher in the womb, but he had a bad influence there with him (esav), so wanted to switch to a yeshiva which only had good chevra. (Rav Shach)
3) Ya'akov was trying to kick out so that Esav would be born in a yeshiva [too], and this would perhaps create a spiritual influence on him which would lead him to mend his ways. (Based on a diyuk in the midrash rabbah 63;6)