Fair question. Once I was in graduate school (math program), I went down the scientific/large-scale computing path. It isn't a very large field of course, compared to consumer-facing software. It was more of a personal drive.
I mentioned only working in a company, since from that what I saw in my country, compensation for ordinary developers in a company are far less than when working in other sectors as software developer (in deed, I do not know any sector, where payment is less than in the Gaming industry). At least one plus is that the Gaming industry is more likely to take people without formal education (which might also be connected to the lower wages).
Of course, when working in a company, you are less likely to not be able to pay your rent any more.
While financial data is hard to obtain in general, luckily, the Activision lawsuit has made a lot of it available to the public, everything from project budgets to the salaries[1] is now a part of public record.
1. http://gamerant.com/activision-lawsuit-infinity-ward-salarie...
Gamasutra and GDC put together a salary survey every year. I think that's public? I would search for it.
Can you name other "career paths" where are more technical & creative challenges open to solve?
I am working on an indie game project right now and worked for a big corporation in a total different sector before and I must say, that when you talk about compensation, you might be right (at least, when you are working in a company), ...
... but when thinking about technical & creative challenges, game development always wins for me hands-down in my personal experience.