Here is my experience.
I have a BS is electrical engineering and a MS in optical engineering/laser engineering. I work at a university as a faculty researcher.
When I graduated with a BS in 1990, the job market sucked but I got a job at a national lab. Not only did I get a job there, my employer paid for me to get a masters degree and fund my research for my thesis. I got really lucky. Plus, being in school, I was able to defer my student loans. Total cost of my degrees from my pocket was $10k in student loans that I paid off before the 6 month period before I paid interest. Otherwise I had a couple scholarships and a grant.
I would have gotten the masters even if my work didn't pay for it because I felt it was only two years, I learned a lot of skills that I still use, and gives one an edge over other engineers because every engineer already has a BS. I chose a MS for the skills over everything else. Education for me was not for the degree, but for the ability to have the tools to get things done.
When I defended my thesis, which was quite detailed for a masters level thesis, I was asked, and encouraged to chase a PhD. I liked the idea of getting a PhD from the prestige point of view, but didn't see how it would add to my skills other than give me some credentials to help me get proposals funded--A had already learned the 95% of the stuff I needed getting my masters. I felt I am an engineer that likes to get peoples funded projects done rather than chase funding. Also, I felt like the extra few years of getting one was a larger opportunity cost of not only lost income, but because a PhD student works all the time, it's a cost of personal time. Mind you, that I enjoyed my educational experience and that time was kinda fun. If your work is fun, it's not necessarily a loss of personal time.
Looking back, I feel I made the right choice. Even if my job paid for a PhD, I'm not entirely sure I would have gotten it. I enjoy my job now and am glad I made the choices I made.
But like others said, and Steve Jobs said, Chase your passion. '"Don't live someone else's life of expectation of your life."