Ever since FASB changed the accounting rules and the "409A Value" appraisal starting coming in too high (IMHO), I've been increasingly disappointed about the capacity of options to create meaningful wealth for the large marjority of option grantees. First, unless you are in very, very early, the strike price will be high enough to be painful -- painful because the check you have to write is high, painful because it reduces your profits and painful because it's a lot to lose if the company goes under. (I'm assuming that you exercise before the IPO or M&A deal here; if you do a cashless exercise at those times, this isn't a problem.)
Second, the tax code is against you. If you are an employee and exercise an ISO, you have to be careful of the Alternative Minimum Tax impact. If you are an advisor, you get immediate 1099 income on the difference between the 409A value of the shares and the exercise price. If you wait til liquidity (IPO or M&A), the tax rate will be the same as ordinary income -- not the preferred long term capital gain. Basically, the wonderful years before the rules changed are gone. It's much harder to make more than a nice bonus out of most option grants, UNLESS YOU ARE EARLY.
Early employees have the benefit of low strike prices. If your option allows "early exercise" and you can afford to write a check for the shares (and you believe in the Company's future), I recommend exercising early, before the 409A value grows. Make sure to file an 83(b) election. But then you are CAPITAL, not LABOR. And, in case you haven't noticed, capitalists make out much, much better than service providers when it comes to taxes -- lower rates, not social security/medicare bite, etc.