Benefits vary by country and, marginally, by level. For US based consulting staff the most notable benefits are (and these are very similar to McKinsey and Bain):
-401k contribution with immediate vesting
-Health insurance with no deductibles, single digit copays
-In lieu travel policy (money that would be spend going back home from client can be spent to travel to an alternate location, have SO fly to client city, etc.)
-Discounts on appliances, travel bags, jewelry, mobile plans, etc
There are many more (e.g. free draft of living will, naturalization sponsorship, etc) but either they apply only to certain segments of population or they have a monetary value that is significantly lower than the ones cited above.
Hope it helps,