Advice on boosting career despite mediocre credentials

So this is my situation:

Last year I graduated from a school on the lower end of the T50 with an econ B.A., a mediocre GPA (between 3.4-3.5), no econometrics experience and a couple of completely irrelevant internships. I currently have a job in New York at a well-known F500 financial services firm; unfortunately its a dead-end position in back-office compliance. It is also crushingly dull.

Despite my lackluster credentials I am a pretty smart guy and while I understand that I'm not going to be landing interviews for sweet gigs at top firms any time soon, I do aspire to something that offers more juice, more opportunity to build a professional skill-set, and that I'm not embarrassed to explain at parties, hopefully without having to leave New York City and break my recently extended lease. Unfortunately I have no real idea what to aim for or how to go about doing it. My first thought was just to begin applying for mid-tier consulting firms (which I take to be outfits like IBM or Deloitte), but that was just for lack of any better ideas. I'm not particularly fixated on any one company or field; my main goal is to escape my Office Space job for something that might actually help me develop professionally.