I certainly know some intelligent people who've gone into banking and consulting, but one of two things tends to happen. Either (1) they find the work boring and leave quickly, or (2) they're rapidly tapped, before (1) can happen, as the "protege" of someone important and get the best projects-- projects that would usually be given to associates and VPs. Usually (2) happens in the context of a family connection; it's not something that's just handed out.