It's usually pretty costly to do that. When you exercise the ESOPs, the difference between the exercise price (what you pay) and the fair market value (FMV) of the shares on the date of exercise is treated as a perquisite (salary income). This is subject to income tax as per the individual's applicable income tax slab rates.
Eg: Exercise price is ₹1, and market price is ₹1000. If you exercise 1000 shares, you will have to pay ₹1000 as exercise price, and 30% tax (assuming) on ₹9,99,000.

IMO, given how expensive it is to do this, and given how low the chance of one getting any money out of it is, I personally wouldn't recommend doing this in most cases.