I went from small engineering consultancy working, to larger consultancy, back to small and now have my own small consultancy and love the freedom that provides.
I much prefer working as part of a small team. Nowhere to hide, less politics and corporate bullshit, more opportunity to be yourself and carve your own path, but more expectation to work harder and outside of your 9-5/less conventionally.
I guess it very much depends on your personality, passion and ambitions as to what kind of environment you prefer?