If you count the simulators I used to work on, then yep, I've worked on a big expensive (at least to purchase) video game. Now I just teach 3D Studio MAX at the local community college to people that want to learn. Since the program is used by so many different industries/people for all sorts of reasons, the class isn't just focused on games. However, the college does actually have a video game program with 4 separate tracks (like Art, Programming, etc.).
I've known a good many people that have worked in the industry at various game companies. ALL of them have different (or similar in some cases) horror stories of things they went thru while working in the field. However, they also have some good stories too. Some of them still work in the industry, while others have moved on due to some of the things that are considered "the norm" which basically boil down to, 'don't expect to have a life outside of the industry' sort of thing.
When I have students in my class that are interested in getting into gaming, I do not discourage them from doing so. But, I DO let them know some of the pro's and con's that I've seen/been told over the years. In the past, smaller companies were often less stable (depending on what project they happened to be working on), but, could often provide more opportunities to do various things. Larger companies tended to be more stable, but, had a usual down side of people being pigeon-holed into doing the same thing for a long time (sometimes making it hard to get into doing other things). However, larger companies, due to the volitile nature of the industry recently, are not as stable by comparison to smaller companies as they used to be.
With the current state of things (sequal-itis), the days of many innovative title ideas being accepted (aka funded) is actually less likely than in the past. The "suits" (aka publishers) are the ones holding the purse strings. If they give the company you work for 9 months to complete a project from start to finish, guess what you are going to be working on for the next 9 months straight (often 10-12+ hours a day, 7 days a week, no time off)? That's right, the project they just purchased the video game rights for (and promised it would be out in 9 months). BTW, this example was taken DIRECTLY from it having actually happened. Suffice it to say that after the project was finished, the founders of the company, took the top level people with them and founded a new company (which has worked on current gen top selling titles and is now working on a next gen title).
Living in Austin, I've seen several (at least 4) of the top, and/or well known, companies go out of business in about the last year or so. Sure, there are still some well known ones around. But, there are not the kind of opportunities that there once was for someone in the gaming industry (at least locally). Also, keep in mind that the project you may be hired to work on (and possibly moved to a new town to get the job) could be axed at the drop of a hat by the publisher. Then, it's "cut back time" at the company you work for. Unless they have a "need" for your services (and even sometimes if they would like to keep you on) they may be forced to let you go in order to keep their doors open (while trying to acquire a new project from a publisher).
Again, I'm not trying to turn anyone away from gaming. Heck, if it wasn't for those that love to do this stuff, we wouldn't have the great games we enjoy playing day in and day out. I simply want to let people know that there are some pros AND cons involved. It's not all fun and games. Many people seem to think that once they are hired, that all their great ideas for games are just going to "happen". This is NOT the case. There is a great deal of work involved to get a project someone has a dream of getting made actually created. Just keep in mind that you MUST ABSOLUTELY LOVE THIS STUFF NO MATTER WHAT or it could turn into burnout city pretty quick (something that some developers/publishers actually bank on in some cases). Even if you do love the stuff (as some of the people I have known do/did), burnout is still an option. Only so many 24/7 days in a row can be handled (no matter how much caffine or energy drinks one consumes) before your body/brain needs a break.
One local company that went under actually let the employees work 2 weeks and basically told them (on, or right before, payday) that the doors were being shut. Let's just say that a LOT of them were banking on that paycheck to help pay their rent at the beginning of the next week.
I'm not trying to be all doom and gloom. But, I would rather more people would go into this industry with their eyes open, or at least a little more informed. Because, when it comes to life, there are more important things than games. And, having a life outside of the job is one of them. Besides, it not only sucks to lose your job, but it especially sucks to lose your "favorite" job...that's not even taking into account if you have a wife/kids/mortgage/rent/etc....
THE most important thing to keep in mind is that while making games can be fun and rewarding, it IS a business first. Decisions will be made for BUSINESS reasons when it comes to funding/cancelling/hiring/firing/etc. projects/people. Sure, it's not flipping burgers (however, working 80 hours a week for a 40 hour a week salary may mean you are actually making less per hour than the burger flipper...haha...ouch), but, it's still a business that is based upon making money.