Interestingly, some of the most successful startups today may never "exit". Facebook seems to want to avoid an IPO if they can, and Mark Pincus from Zynga has said he hope he can exist as a privately held corporation indefinitely. [1]

SecondMarket creates liquidity for investors, founders, and employees while allowing the company to still maintain some control of how many investors they have.

At NextGenConf a few weeks ago, Peter Thiel specifically said Clarium prefers to invest in companies that can be successful without any exit. [Can't find a ref here, taken from my notes.]

[1] http://ecorner.stanford.edu/authorMaterialInfo.html?mid=2311