You can get good jobs in industry with similar pay but it takes time and a network. So take your time build your network and when you feel the right opportunity is there, make the shift. The problem is in industry, pay rises are not great and when you come from the outside, you will be expected to deliver results in a short time.
Trust me, I know.
One final piece of advice, make sure you know what industry you want to get into. No point being an industry you dont like. Media and internet companies have the glamour but public sector and utilities have the work life balance, banking has/had the money while oil raises ethical issues.
Just take a long weekend somewhere quiet and think about this.