I was there myself a few years ago. I joined one of the big ones after graduation and detested it, and so did many of my colleagues. In one or another we all left for smaller consultancies where we are all happier. I was not too keen on retail banking consulting, so left the big firm, joined a small hedge fund marketing business in London as an office manager, learned the basics of the industry (NAVs, etc...) and used that to leverage myself into the kind of work that I want to do.
If you want to get out of consulting you have to reconcile yourself to the following:
1.) whatever you do next, you may be paid less
2.) Most businesses have hierarchies that are irritating.
3.) Smaller firms may give you a better chance to prove yourself.
4.) Whatever you do, do not get into a position where you think, a year down the road 'i wish i didnt leave.'
Therefore plan carefully. Find out what industry an profession you want to be in, and call people up, find out what their thoughts are - specificially see if what they suffer from on their bad days is the same that you suffer from.
Have you been promoted yet? Its a good way to sell yourself in industry 'after promotion at this consultancy I have come to the decision that this firm's career path is not for me...etc..' Can you get in with any of the firms that you have consulted with?
Ultimately its a hard move to make, it really is, unfortunately. Best of luck!