I've worked for consultancies with 10 people, and consultancies with thousands. The bigger the company, the worse the office politics (a huge negative for me as I hate office politics), but the better the pay. The smaller the company, the higher the workload, but you also feel like you're contributing more due to the size of the team, and it'll have a "nicer" feeling to it, almost a family/friends type of atmosphere. I've found smaller companies are also more likely to give longer term benefits to offset the lower salaries, such as % ownership in the company etc. None of that is set in stone but that's been my general feeling and experiences.
What is it you'll be consulting in?