Indeed, the answer to "Where to Go" very much depends on one's level of experience. As in many other industries, senior people usually have more and better choices since they have already proven themselves. (Of course whether they can succeed is another matter, but we do see good examples to follow - 51Jobs as a start-up, or Sun as an incumbent) Just one thing -- for life style, I'm not sure about the point that general management has a better work/life balance comparing to these professional service roles. After all, general management is also about providing professional service to the owners of the company. More over, while consultants can settle with big strategy blueprints, the tougher part of execution is shouldered by the client company's management. Presumably the job is tougher, the stake is bigger, and the pressure is higher.
Sure enough, the question of "What to do after partner" is far-fetched to the most. The more immediate question is what is a good exit for a less experienced consultant.
Financial industry is a sound choice since
1. There are many exsiting skills to leverage on;
2. It pays well;
3. There may be plenty of opportunities in China/Asia looking forward.
As for the dreadful part of life style, everywhere is the same -- in fact, if you enter at associate level, the stress level may even be less. (Again, presumably, with some anecdotes)
Industry is a completely different animal .. I fully agree that a relatively junior consultant should expect to start from scratch upon moving to her/his industry of interest, instead of expecting something more glamorous. For example, Google Singapore recruits Analystics analyst and asscoiate marketing managers former former consultants and investment bankers (maybe because it's Google!). There is no way to move up if one can't prove him/herself in these more or less entry-level or junior management roles. That said, I do believe that the skills developed in consulting can be very helpful in one's way ahead.
Of course, there are quite a few more relevant roles an x-consultant can fit into a corporate, such as corporate planning, internal strategy, business development, corporate development (M&A) etc, with considerable overleap with consulting in terms of job scope. Also there are management trainee roles (serious ones, i mean) for consultant + MBA, which may help to bridge the gap between strategy and operation.
So my point is, for an x-consultant, it looks like a humbler option to go industry instead of consulting or banking. However, if one's really aspired to get hands-on, there are plenty of options. The good thing is, regardless of which option to take, analytical and presentation skills are always helpful.
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