mcdesca - I've worked for two start-ups, both in the UK. The first was always a bit hand-to-mouth despite being technically successful, and well equipped. Run by engineers, and on the whole a good place to work. However, they bit off more than they could chew, and ended up nearly failing (twice). During that period, it got to be a bad atmosphere, not really because of the money troubles but because of the attitude of one staff member who took it on themselves to imply that everybody else (personally, each in turn) was responsible for the mess. They ended up being taken over by a series of companies who were then taken over by another, etc. They are now part of GE, and still going strong. They offered me stock options which I allowed to lapse (since I could see which way the wind was blowing).
The second was to first sight much shakier, but again engineer run & a fun place to work. However, the management team included a very capable 'money man' who kept the bank & VCs happy; and the MD was a natural born entrepreneur, on his second or third startup. (He is the only man I ever met who made money racing yachts.) They gave me a free hand to set up the electronics lab the way I wanted - tools, test gear, benches & all. They were if anything, technically less successful than the first, but arranged a brilliant (and well-planned) buy-out. I was awarded stock options, and also invested some of my own cash in additional shares during one of the financing rounds. The buyout paid off my mortgage & more to spare.
Was it a risk? Yes, in both cases. But my salary was paid on time (for one month, from a director's personal bank account) and both ended, on balance, well. The incentive to learn new stuff, rapidly and in depth, that you get in a start-up just doesn't occur in a big corporation, no matter how well structured their training & competency procedures are. Do not underestimate this: if the worst comes to the worst, you take the newly acquired knowledge with you. You are also going to see more of the customer than you would in a big company, and you will be pushed outside your comfort zone.
Ask yourself what you would do if the startup folded. Would you be able to find similar work in the same area? Are you having to move, or work overseas? What about your personal commitments, dependents?
Finally, I would recommend finding out all you can about the 'money man'. Cash flow is king (or emperor, or even $DEITY in a startup) and without top notch money management the risks massively increase.
Footnotes: I'm UK based so NHS covered my back healthcare wise; taxation of share options is different everywhere