Well the answer to 1 is that you owe tax on the increase of value from 10c to $2 (your option price and the current value of the stock when your bought it at 10c a share - if you have 10k shares you might pay $1k to exercise the options and find yourself owing roughly 1/3 of 10k*$1.90 or ~$6k in tax on your paper gain.
The usual reason you are doing this is because you expect the stock to appreciate further say to $10 and you want to lock in the long term capital gains tax (25%) rather than your marginal rate (30somethingish %) when you sell it.
Now when the company goes under your stock goes to 0 you can claim back the loss ($20k) in a subsequent year's tax return, but only as an offset against some other investment income - something that might not be happening if you don;t have a job (though if you can't use this loss it might be a great time to tap your 401k/IRA and get that money out essentially tax free if you can)
In the US capital gains are by default taxed as income, you can claim a special lower capital gains tax rate if you hold an asset for greater than a minimum time (2 years?)- stock options are a bit special in that you don't actually 'hold them' until they vest - what you have to do if you buy them early is file with the IRS and tell them that you have made this investment, specify how many shares and what the value was - it is explicitly to get this lower capital gains tax rate that people do the early purchase thing.
US pension funds (at least personal funds like IRAs and 401Ks) are pre-tax - that is the money you put into them comes from your gross, before you pay tax on it - you still have to pay the tax when you withdraw money (including any increase) from them - the idea is that you put money in to avoid tax at your highest marginal rate, and remove it and pay tax at a much lower marginal rate when you are retired. However you do still have to pay income tax on money earned in pension plans.
As to the fact that you can't claim the tax loss if you're unemployed or bankrupt, that was part of the thing I was trying to point out, buying your options after their value has increased can put you into a dangerous situation (I wasn't trying to justify it, just explain to the unwary that it can, and has, happened)
The usual reason you are doing this is because you expect the stock to appreciate further say to $10 and you want to lock in the long term capital gains tax (25%) rather than your marginal rate (30somethingish %) when you sell it.
Now when the company goes under your stock goes to 0 you can claim back the loss ($20k) in a subsequent year's tax return, but only as an offset against some other investment income - something that might not be happening if you don;t have a job (though if you can't use this loss it might be a great time to tap your 401k/IRA and get that money out essentially tax free if you can)