I've done it, but my options agreement with the company put such restrictions on trading the stock that it couldn't have happened without the very willing participation/assistance of the execs. I don't actually understand all of the details, but I know there were issues with both right of first refusal and also prohibitions on private stock transactions that the company had to explicitly waive. In the end, I just had to trust a lawyer to reassure me that in the end, I would no longer have any options but I would have a whole bunch of cash, because all the mechanics were both over my head and arranged by someone else.

http://esofund.com/ does this. It is getting common. With sky-high valuations, the Fair Market Value (FMV) for many startups stock are very high. Although the percentage returns on this might be high, an average engineer needs large amount of cash to play this game. Some firms have come up which help with the "seed" money.

That's what the company Second Market does, and with recent changes in regulation, we'll see a lot more of these.