I've been with this company now just close to 4 years, we have raised double digit millions and are not immediately going to sell the company; and I am not planning on leaving.
I am wondering if there is any reason that I would purchase the shares now or just wait until we either sell or I leave?
But, you will be risking the money that you use to exercise those options, ie if the company doesn't exit, or exits where only the preferred stock is payed out, then you will lose all of that.
IMO, this risk is not worth the tax savings, unless you have a ton of money to spare, in which case why even care about the taxes. Hold the options until there is a real market for them, it's the least risky option.
As a shareholder of the company you can't sell whenever you want, e.g. there might be restrictions that if you find a buyer all other shareholder have equal right to sell to that buyer. You can't assess the value because private companies rarely assess themselves (tax reasons, strategic reasons) and who you're selling to can also be limited, e.g. by requiring full board approval.
If the company is in trouble at some point then investors and shareholder watch each other (in the negative sense) and it's get political who can sell and how much. In worst case you have to deal with power play in the board, an in-transparent situation where you might not even know all the players.
As you can see the risk increases. Only worth it if you want to their get more control (board seat or get your voice heard) or if you want to keep stock rather than stock options in case you ever get fired or similar event (because you'd loose the options usually).