I made the move to an in house strategy role (telecoms not banking) a couple of years ago and haven't looked back once.
The type of work I have been involved with has always been interesting and pretty varied (you make you own way in a company, bit like consulting, lobby for the best project etc).
Career development has been good, progressed into senior management quickly, as has salary progression and bonus reward.
Real benefits for me have been better quality of life, involvement in projects from start to end and ability to develop indepth knowledge of industry.
Negatives, I ocassionally miss having the odd day or two "off the clock" to recover as this doesn't happen in my role.
In the long run I probably have the option to progress in house (more likely) or go back to consulting if required.