Andy,
It's highly specialized, math-intensive work. It's interesting stuff, and I thought about it for a spell, but I decided against it for me, personally. I'm proably not gifted enough in theoretical quant to be really good at the job.
On the other hand, you can probably make $150,000 yearly if you're any good at it.
Check out The Global Association of Risk Professionals-- they have some message boards where you can talk to people who do FE for a living.
Or, if the boards don't belong to GARP, you can probably find them via a Google search.
If you don't get anywhere, PM me.