One reason to exercise early and hold the shares is for tax purposes in the event you are sure the stock will go up.

When you exercise an option that was granted as employment compensation you are taxed at the difference between the strike price and market price at normal income tax rates.

Capital gains tax rates however are half that of income tax rates. Once you have held your shares for two years you can dispose of them and declare a capital gain. If you kept the options the whole time the gain would be considered income.

So if you are sure the stock is going to go up a lot then exercising early makes a big difference on how much tax you pay.

The downside however is now you have real money at risk.