My job is great pay, very stable, and I hate every day of it. A place for careers to end.
The biggest lesson I've learned is there is no such thing as a free lunch. I initially moved to the startup because I was bored at Mega corp and I wanted the chance to work on stuff that I could never do at Mega corp. Also there was the allure of making millions. I worked at two start up that went bust, before going back to a different Mega corp.
The first startup I was at sucked. I was so happy when they went bust, and I was laid off. Why? The management was terrible. Bad management at Mega corp sucks, but you are still protected by the bureaucracy. Bad management at a startup is just disastrous. Every day I saw the chance of my options being worth anything, getting closer to 0. Plus I had the daily stress caused by the ineffective management.
The second startup I worked for was great. Not that it didn't have it's problems, but I really enjoyed that job. The management was alright, and I got to work on really cool problems. They ultimately failed because they couldn't monetize their product.
After losing that job, my current job at Mega Corp found me. I decided that it would be nice to have good benefits and stability again. I get to do cool stuff at this job, but there is so much process and procedure around everything, that I spend over half my time doing paperwork.
Would I go back to a startup. I don't know. I know this time I won't fall for the allure of possibly making millions. I would have to really like the management and the work would have to be very interesting.