If you look at the structure of a typical consultancy, only 1/4 of those at the senior consultant level will go on to become a Partner at the firm. So by definition the majority at your level do go on to pursue a life outside consulting (yes there is such a thing as a world outside consulting ladies & gents!).
The most common exit routes include:
i) being "poached" by a client to take on a strategic or executive role inhouse. as this usually builds the bond between the consultancy and the client organisation, this is not something frowned on by consulting firms (and so the door would be open to return to them later)
ii) going to work on a freelance consulting basis or as an interim. this usually pays twice as well for the number of days worked, which means you can achieve a better work/life balance if that's your gripe with consulting - or can earn a lot more than staying in consulting if you find you're not one of those being considered for the partner track.
iii) being headhunted. my consulting friends are now in investment banking, FTSE 100 corporates and dot-coms. many ex-consultants are also being hired by private equity firms to help run the businesses that they are busy acquiring.
iv) setting up a start-up. not for everyone, but a few years in consulting does give you the business knowledge and the bank balance to be able to take a risk on a venture - and stand a reasonable chance of making a success of it.
Hope that helps. Tony Restell