The amount you can capture value in a 'big company' depends a lot on the industry you are in.
If you are in the right niche, say finance then A.N Other Big Bank will pay 1,000 to 1,200 USD per day for good programmers and more like 1,200 to 1,500 USD per day for excellent programmers.
Now if you are capturing 300K USD per year for your programming skills jumping into a start-up looks like a significantly higher risk proposition than at 80K USD per year.
This is a point that I kind of feel is missed a lot on HN. One of the reasons you see less start-ups in NYC, LDN, etc is simply because it's too easy to make good enough money that the hunger simply doesn't exist.
EDIT: fixed spelling.