Start ups tend to have a lot more flux in all things. When there is no established review cycle you are required to advocate for your own merit increases. Additionally you may be required to hack things together, or take on many roles in order get your product to succeed. The trade off is that if you are knowledgable/confident then you won't have existing mistakes from previous generations and you can help forge the path of the company. In a smaller company your voice is much louder (yes this is good and bad).
Finally from a finance perspective, you don't end up on top if your company goes out of business or never IPO's. You're investing in the startup with hopes of seeing a payout.