This is what I get for trying to give an intelligent response to a very good question through my cell phone.
To give a little background. I graduated with an undergrad degree from a top 15 business school and have since worked in a mix of consulting and strategy research role with top 10 consulting firms here in the US (Corporate Executive Board and Deloitte). My roles in research focused on strategy and (later on) in media research. At Deloitte, I moved to the technology practice but still did some strategy work (though mostly lower level).
Looking our 10+ years, I don't think I want to remain a technology consultant. I want to either take up a senior role within industry or move out altogether and execute one of my own ideas.
I think that given these objectives, options 1 and 3 from my original post work fine... and option 2 works alright if I can translate that into a serious leadership position instead of just a role as a practitioner.
The key, of course, is whether I should take the research role within BCG despite it being a non-consulting (read: prestigious company, semi-prestigious role)... or stay as a consultant within Deloitte (read: semi-prestigious company, prestigious role).
I've not been able to turn up anything on the Research side of BCG and so, have been unable to do the "calculus" required to weigh my options.