I've worked in the games industry at an independent company for 8 years (all at the same company).
Before that I worked at a startup on EJB apps (and many other odd jobs), and before that I worked at a small company writing and debugging embedded systems software and hardware. All the jobs had their benefits and drawbacks, but if you can find a good game developer to work for (as I feel I have) it's well worth it. Our games have been relatively successful, and profit sharing from those games has resulted in my average compensation to be almost double my salary. I've definitely worked long hours during my time, but when you're working on something you and others around you believe in (as has almost always been the case) it has a completely different feel than the 12-hours-a-day-7-days-a-week periods I was forced to work in my previous job.
The problems are hard, and solving them is fun. The people are incredibly smart, and they're the kind of people I'd want to hang out with outside of work.
You might get paid less than working at a consulting firm, but in my experience the atmosphere and problem space is much more interesting.