Should I change jobs?

Some of my colleagues, may say "Yes!".
However, this post is mostly concerned with moving from academia to industry and is mostly directed at graduate students and postdocs. However, some of the issues are also relevant to faculty considering a change of institution.
The issues are based on my limited experience and observations over almost three decades. I stress that I am not saying that all the realities below are right or just, only that they are realities that may need to be faced.

Its personal.
Different people have different values.
How much do you value (or don't value) independence, freedom, money, family time, flexible work hours, job "security", affirmation, geographic location, ....?
The relative value you place on such things will significantly affect what job may be suitable for you and whether and when you decide to make a change?
A job that is great for your friend may be horrible for you and visa versa.
There is no simple right answer.

Every job sucks.
or at least some of it sucks...
Read Genesis 3 and Ecclesiastes. Earning a living is tough.
The grass usually looks greener elsewhere. Stop looking for the perfect job.
Unfortunately, every job involves some frustration, some instability, some inane policies, some tedious tasks, some insufferable colleagues, some anxiety, some incompetence, some compromise, limited appreciation, and limited resources....
I concede these problems are greater in some jobs than others. However, I think they are pretty significant in any job and any institution.
The quicker you come to terms with this painful reality and learn how to cope with these challenges the greater your job satisfaction will be and may save you from making a change that just dishes up the same (or a new set) of frustrations and disappointments.

Most science and humanities Ph.D's will not get permanent jobs in academia.
Consider the brutal statistics: the number of Ph.D graduates every year vastly outnumbers the number of faculty positions. It has been that way since the 1970s and will continue to be so. Don't believe anyone who tells you otherwise.  Nevertheless, I am still pleasantly surprised at the number of people I encounter who do seem to stick at it and somehow survive, particularly with some luck, and if they are geographically flexible.

There are many intellectually challenging jobs outside academia.
If you leave, either because you have to or decide to, you have not "failed" in any sense and are not destined to intellectual mediocrity. After all, there are "brain dead" jobs both inside and outside academia. Don't let anyone look down on you.

Deal with your inner demons first.
Anxiety, difficulty getting along with colleagues, disappointment, stress, perfectionism, yearning for affirmation and appreciation, poor self-esteem, lack of confidence, lack of contentment, depression....
Don't think changing jobs is going to make these personal issues go away. They may be less acute in some jobs but they will still be there. They may be even be more acute in industry. Don't let a desire to escape these pressures drive a decision.
I wish I had dealt with such issues earlier in my career.

You may not make more money in industry than in academia.
It is certainly true that some gifted and fortunate individuals make a ton of money in industry. The former Chief Scientist of Queensland was fond of telling science students that many of the richest people in the world had science or engineering degrees. However, you are probably not going to be one of them.
It may be true that the average starting salary for a science Ph.D in industry is much greater than a postdoc salary, even some junior faculty salaries.
However, do not assume that in industry that you will make this much money (plus more) every year of your life until retirement. 
Hiring and firing, boom and bust: that is the natural cycle of high-flying industry.
I have known people who have had very high paid jobs in industry for a few years, followed by periods of unemployment or under-employment. Sometimes they have also been forced to undergo costly relocations to stay employed.
Also factor in the high cost of living [or very long commutes] that may go with high paid jobs in locations such as London, New York City, or Palo Alto.

Make a decision. Then stick to it for a definite period of time.
Will I? Won't I?
If for an extended period of time you are constantly uncertain and wanting to regularly discuss it with your family, friends, and/or colleagues it may not only drive you crazy but also them.

During a possible transition out of academia be circumspect about who you confide in
If you let many people know you are really uncertain about trying to stay in academia you may find that the commitment, interest, and support of some funding agencies, colleagues, collaborators, supervisors, grant assessors, and/or mentors will fade or vanish. Why should they invest scarce time or resources in you if you may disappear soon? You may then no longer have the option of staying.

Finally don't let uncertainty and anxiety about the future spoil your enjoyment of the present.
Doing good science should be a fun and is a privilege. Try and enjoy it, even if you may not get to do it in the long term.

I welcome discussion. It would be particularly good to hear some first or second-hand experiences of people who have made the transition from academia to industry.