Size isn't everything. Money is.
Seriously though, it depends on a whole host of things like what is important to you, who the small consultancies are and who the Big 4 is.
For example, some small firms have better reputations and abilities in particular niches than large full-service firms. But if you're looking for structure and order in your career path then a Big-4 accounting-based firm will probably be better suited to you.