I've been working at a consulting firm for almost six years. Tons of people quit to make their own startups or go into another industry. For me, I'm just thinking of taking a six month leave next year so I can live in Europe, not work unless I want to, and pursue the arts. I'm thinking of doing a lot of traveling, photography, and writing.
I think a lot of the angst people have about corporate jobs is that people think about what they are missing out on. I think it's really important to not lose sight of what you enjoy, even if you only have a few hours a week to enjoy it.