Anyone who switched from government to private sector?

I'm afraid that with the impending federal budget cuts that will inevitably come, I do not feel comfortable being in the government even though I'm in a local government. However, I've heard of different expectations in the private sector in that in private sector you must prove your worth. Well, even in the government that is true to some extent, but is there anyone who switched from the to private sector, and how was your adjustment experience?