I'm not a games programmer, but I work around them.
It's a smallish company (not an 'EA' or Codemasters-like game-factory) with approx 50 people in it. I'd say about 20 of those are programmers.
You'll get paid less in a games programming job, than you would in some other industrial programming places (I knew someone who did missile guidance systems - man, did he have cash, shame about the concience).
An entry level programmer gets paid more than entry level anything else (I don't know numbers). Indeed, programmers get paid more than most other disciplines in a games company (excepting management, of course).
Advancement usually goes along the lines of...
Programmer (does whatever needs doing)
Specialist Programmer (AI, effects, UI, engine, renderer, multiplayer)
Senior Programmer (you've been there a while - you're probably a specialist, have some more cash)
Lead Programmer (there may be more than one of these)
Lead Technical Director (there's only one of these - may or may not be on the board of directors).
Sometimes a Lead Programmer gets to do design too (in higher 'concept-level' designs) and has to deal with some management of the other programmers (herding cats?).
I've seen programmers come in brand new as specialists (audio programmers) but all programmers are expected to do what needs done.
As for how fulfilling it is - I can't really say. Some of them here it's a job like any other, and he lives for the weekend and the beer. Others like their job, and don't really want to do anything else. Only a few have a deep love of games - and they usually end up with fingers in design too
I'll try to ask one I know to pop into this thread, but no promises.
[edit] Oh, and while I remember - there's a lot of history of games programmers breaking off from companies to start their own. Happens all the time. However, many many of these fall flat on their faces because programming skill does not equal the satan-sent management abilities required to run a studio. But in more 'old school' places, it may well be that the boss is a coder. Not here though.