I have been working about 5 years in consulting. A few quick thoughts :
- It is an exciting and highly-regarded job
- After all those years, it seems to me that consultants develop more knowledge about methodologies than about industries (unless you really try to develop your own industry expertise through client-projects)
- It is better to go for a well-known consultancy (if you do not like it, you have at least a name to sell).
- Going (back) to the industry afterwards can be difficult, not only in terms of salary expectations but also in terms of career positioning ("consultant un jour, consultant toujours").
As a conclusion, I advise you to go for it but you can already start thinking about your next career move in you really want to develop industry expertise. Spend at least 2-3 years in this area.
All the best,
Sylvain from France