It comes down to whether or not you think the company will have a successful liquidity event. If you think the company is going to shutdown, or sell at a lower

It comes down to whether or not you think the company will have a successful liquidity event. If you think the company is going to shutdown, or sell at a lower valuation than your option's strike price, don't exercise them. Your shares will be worthless. If you think they'll succeed and IPO or get acquired at a higher price, buy them (factoring in any potential tax implications, like AMT). It is a risk.