As everyone has mentioned, there are good/bad sides to both. I think that if you want to be an engineer, you have to seek out those opportunities that will let you be an engineer. Just starting out of college, with zero experience, one finds out very quickley what one is worth: no P.E.? Ha! Minimum wage!, now check them calcs, boy! Or, you might spend most of your day on a construction site reporting concrete slumps, etc. (it's always good to have construction experience, though, no matter how little it pays). You've really got to know what you want to do with yourself. You also should remember that the smaller firms are, literally, the life's work of individual engineers. Many of them spent years of 18-hour days building up their business and they will not risk losing it, even if it means playing mean-spirited "jokes" on the employees, like no bonuses... As such, most of their 24-hour day/7-day week is spent on their firm; vacations for them are times to lose money... Caveat emptor!
That being said, your bills have to be paid, especially those pesky student loans. Sacrifices end up being made and dreams end up being put on hold for the proverbial "reality check." And gosh darn it, it's great to get the experience, but if Old Man Skinflint Ph.D., S.E., P.E., Etc. is paying you starvation wages you MUST leave when the better-paying job comes along. The cost is that the Old Man doesn't transfer his knowledge to you, but you can make that up with some extra study. In the mean time, there's bills to pay and a life to live. Maybe the better paying job is heavy on the "management" end of things and maybe there's too much office politics going on or maybe you're stuck doing PowerPoint presentations for big proposals, but the extra cash takes some of the sting out of watching the internet kids coin it in while you were stuck checking moment distribution calculations and remembering the joys of studying for final exams.