Most people who go into finance do so right after undergrad, when they're 22-23. Working a few years of 80-90 hour weeks* at a major bank almost guarantees admission to a top business school, allows you to save up a significant amount of money for later ventures, and is a resume line-item that carries almost universal weight in the F500 business world.

*) Although that's more typical of M&A than finance as a whole. My brother is a trader at one of the big banks and probably works more like 60.