Fortunately I was working for a startup that had a great exit when it was acquired. Since they were entrepreneurs themselves they were amazingly supportive and I still go to the founders for guidance from time to time.

For more on this topic - I wrote a post on how to break up with a girlfriend (or employer) that addresses how to not burn your bridges at:

http://blog.nanobeepers.com/2007/04/05/breaking-up-is-hard-to-do/