As reported by Lance, Madhu Sudan is "leaving" MIT for Microsoft Research New England.
Of course, he's not really leaving his tenured position, but just going on leave. But it raises the question -- what would it take for someone (you?) to leave a tenured position? It does happen -- Micah Adler recently left U Mass to enjoy life as a serial entrepreneur -- but tenured positions are quite comfortable, and because of the apparent security tenure offers, it can be hard to leave a tenured position for anything except another one. Tenure is, in that sense, a double-edged sword; you have a position for life, but only if you stay where you are.
Mind you, there are other appealing aspects of academic life. And of course some less appealing ones. Perhaps part of the reason so few people ever give up tenure is that professor positions tend to attract people who enjoy being professors, who find the positives outweigh the negatives, and so they're not attracted to other possible positions or pursuits.