As far as I know in cognitive science/ cognitive psychology, there are a lot of research positions in industry (visualization, education-oriented research). For example, you have cognitive scientists being hired right out of graduate school by medium and large educational technology companies (Pearson, ETS, etc). I also know that there are a good amount of cognitive psychologists employed by Sandia Labs, government labs, private companies that are contracted by the government to do defense -related projects, and the list goes on and on. I think if more academics were open to encouraging students going in different career paths, there would be more people going non-academic. My advisors are pretty gung-ho about me going in an academic path that suits me, but not them. Not everyone is that lucky though. I think it also depends if you want to be a full-time research scientist or something more...corporate/cubicle-oriented. I want to be a research scientist wherever I go afterwards, but maybe not at an R1 institution.