I think that I emitted an audible snort when I read Paul Kedrosky's post about completion of graduate studies:
[...] people who don't finish doctoral degrees are people to watch. They have demonstrated deep intellectual curiosity by entering such programs, and they have demonstrated street smarts and a laudable willingness to ignore sunk costs by leaving before they get sucked into the vortex.
First off, this is blatant post hoc reasoning — “Successful people I know dropped out of graduate school, so people who drop out of graduate school are successful.”
Second, I think it's incorrect in addition to being poorly reasoned. I started my career at Berkeley with 68 peers and exited in a class of 19, and there are plenty of people I respect who finished and plenty of people I respect who didn't. Some left because of lack of ability, either in terms of raw intellectual horsepower or in terms of political savvy. (Political savvy matters more than you might think in staying supported, finding a strong advisor, promoting yourself and your work, and getting research signed-off by a committee.) Some left because of a change in personal circumstances, and some left because they saw an opportunity outside of academia in technology or financial services. If I may dabble in proof by example, two of the most successful extra-academic mathematicians I know, one trader and one entrepreneur, were successful in academia before leaving. Two of the most successful people who left without a Ph.D. did so after having completed (and even published) their research but made an informed and conscious choice about the academic career path.
I do agree with Paul that windmill detection is an incredibly valuable skill, but it's a much finer point than I think he's making. If it is really so disadvantageous to stay, then I question the base instincts of the person who got themselves into that circumstance in the first place.
Graduate work in physics, mathematics, chemistry, computer science, statistics, etc. is rocket science, but finishing is straightforward. Be disciplined. Choose wisely, put your head down, charge into the unknown, and look up to reassess frequently. Stick to your guns where you think you're right, demand thorough and valid reasoning, and aim for achievable and relevant ends. And, just like everything else, be at least a little bit lucky. Seems like good advice (and experience) for just about anyone.