In my experience, people in their 20's who work in start-ups or entrepreneurial environments are almost always happier than people working in banks or consulting firms. The young bankers or consultants justify their short-term unhappiness by their hopeful long-term payoff in money or prestige.
There are lots of reasons why I think my small-company friends are happier than big-company friends. I think the most important is that small, dynamic, innovative teams are just more fun than massive, anonymous organizations where you feel like a cog.
The fun factor is wonderfully captured by First Round Capital's awesome 2008 e-Christmas card, which you can view here on YouTube or embedded below. Seriously – what investment bank or consulting firm would do something like this? Along the same lines, check out the funny lip dub clip (also embedded below) from TechStars over the summer that all the teams contributed to. Again, where else would this happen but in a start-up environment?