There is an interesting document that was put out by the American Institute of Physics recently about the careers of physics PhDs who had decided to join the private sector.
One interesting note from this document was that most of these physicists were asked: If you could go back in time, would you still accept your postdoc?
Most physicists in the private sector answered in the affirmative to this question. Perhaps a postdoc is not a bad idea even for those people who intend to later take a job in a company or elsewhere. Below is a table demonstrating these statistics with a more precise breakdown:
There are also numbers on salaries across different fields in the private sector. It is worth looking through the document if one is considering joining the private sector.