I agree with Vlad that the start-up is most likely your worst option.
However, I tend to disagree on the rank of the remaining two options: I would go for the controlling role. before doing my MBA, I would agree that the IB role could give you additional skills and easier to fit in consulting afterwards, but today I've a completely different view - most of my IB colleagues failed big time in securing an offer from any MBB (the skillset is completely different and I felt completely disappointed when I mcok interview them!). On the other hand, controlling, despite looking a bit boring for some people, prepare you much better for a consulting interview (you will master as few the concepts of profitability and how to play around it!).
Btw, I used to work as a financial controller for two years before joining McKinsey, so it's really first hand knowledge (and controlling is not auditing!!!).