Big Dogs vs Small Dogs
Is it better to work for a big studio or a small studio when starting out? That's a tough call.
Big studios give you job stability, are more likely to be working on a game you've heard of and like, and they're more likely to hire people without experience in the gaming industry. Unfortunately, big name studios are also more likely to work you to death. Everybody knows their name, everybody wants a job, and if they burn you out, they have a steady stream of replacements. Plus, if you have a really cool idea for a feature, there's less of a chance someone will listen to you.
Small studios usually let you work on a more significant portion of the game, and they're more likely to let you give creative input. They're often looking for extra help, but you'll have a tough time convincing them you can do the job if you haven't shipped any games yet. If they're working on a brand new title, you might get to make the next killer app, but of course it could also tank. Look at the games they'll be releasing soon. Do they have their next project lined up, or is everything riding on the current one? If you don't have a family to support, and you don't mind looking for a job again when the project is over, this might not be a concern for you.
With any studio, be careful if they make a game you really love, but also make games you hate. Even if they promise you'll be working on a particular game, be wary. Once you're hired, they might stick you on "Emily's Extreme Tea Party." :-)
The important thing to keep in mind here is: don't rule any company out automatically.