You are taxed at your marginal rate on the value between when they are offered and you exercise, and on the capital gains rate (provided you hold them long enough) between when you exercise them and sell them
In practice you either buy them the day they are offered (but before they vest, so a gamble) to switch to the CGT rate asap, or exercise and sell in the same process which means you pay at your marginal rate. You tend to do the former if you are early series A (penny a share or so so low financial risk - for example I once paid $1000 for 100k founder's shares), and the latter otherwise. Doing something in between means a largish tax liability with no matching liquidity event to pay for it - during the first dotcom bubble a lot of people did this, got a huge unexpected tax liability at the end of the year (and AMT) AND lost their jobs as things crashed and their stock became worthless (they could write that off in the next year, but owed the IRS lots of money while unemployed) ... so be careful here, make sure you know what you are doing if you're exercising in a situation that's not one of those first two I listed.
In practice you either buy them the day they are offered (but before they vest, so a gamble) to switch to the CGT rate asap, or exercise and sell in the same process which means you pay at your marginal rate. You tend to do the former if you are early series A (penny a share or so so low financial risk - for example I once paid $1000 for 100k founder's shares), and the latter otherwise. Doing something in between means a largish tax liability with no matching liquidity event to pay for it - during the first dotcom bubble a lot of people did this, got a huge unexpected tax liability at the end of the year (and AMT) AND lost their jobs as things crashed and their stock became worthless (they could write that off in the next year, but owed the IRS lots of money while unemployed) ... so be careful here, make sure you know what you are doing if you're exercising in a situation that's not one of those first two I listed.