This age old question has probably been asked, but there are always new considerations and specifics. Also I want to hear from people who have quit the program themselves, namely the biggest question of all: Do you regret it? and, did you ever feel that it hurt you later in your industry life? (assuming you have a Masters)
I have a fellowship and I'm in a prestigious program, but I am truly suffering in it. My advisor puts us (the students) against each other to compete and there are tons of politics. Of course industry is not without politics, but I have had experiences there and it was not this bad.
My current options are to switch advisors and start the research portion from scratch or accept a nice offer from Google for a very interesting team that is similar to my line of research. In the short term, I know I will enjoy being in a company. I'm a bit older (32) and I've worked in companies before. I also have friends there and I miss working in a collaborative team. I'm afraid however, in the long term certain positions or opportunities will be closed off for me. And of course a general feel of feel failure.