I think going into industry, consulting, or starting a company are more common than you might think. At my program, there was probably one person every other year who ended up in a non-traditional type of position like that, which would put it at around 5%. At the height of the biotech boom 10 years ago it may have been higher.
Some programs look down on this, making you out to be some sort of heretic if you don't stay in academics, and will steer you away from it. Others are more progressive and encourage you to do whatever your skills and interests guide you toward.
It's an interesting option, because you will be interestingly positioned as having an MD and close ties to clinical medicine as well as a research background. If there is something specific you want to do, you may be able to continue research similar to your PhD at a company. For many people though, this is not an option and you can simply work on something totally different. I think you will have options if you want to do it, as long as the economy doesn't tank completely.
As for compensation, you will most likely make less than you would as a clinician but more than you would as a basic science researcher. That is, unless you somehow work your way up as an executive or something.
One consideration is whether you think it's worthwhile to do one year of postgraduate medicine and get your medical license (which in most states you can obtain after only an internship). This may make you more marketable and give you more job options, but probably isn't necessary if you know you will never do clinical medicine. Plus it would be a real pain to match with the intention of quitting medicine in one year.
Hope this helps.
