Moving into consultancy as an experienced developer

Has anyone started their career with traditional companies, gained experience, and then moved into a consulting firm? For clarity, I mean NOT staffing firms - but the serious, high-quality consultancies (think Thoughtworks and similar).

For some time now, I've felt like I'm stuck in a rut and my career is not progressing as I would like it to. When you're in a large organization, opportunities for large, transformational projects are rare (and are often time left to consultants anyway, as with my company now). By being a consultant, I would be granted these opportunities on a regular basis, all while exploring new industries, new domains, and new technologies. Basically like playing a MMO and grinding out XP, but leveling my career and not Slayer.

What have your experiences been?