I remember reading an article to the effect that a M.S. degree, on the average, raises the earnings potential by quite a lot over a lifetime. I don't know whether they break this down by major or not.
I think the better reason to go for a graduate degree (well, at least it's my reason for doing so) is that it will open the door to more interesting jobs (well, at least for what I want to do). My salary will go up a little bit by doing it, but not enough to justify not working and saving... at least not for a little while, anyway. I think the idea is that people with graduate education do better in the long run. It's an investment in human capital.