Masters or WE + MBA?

Hi there,
I am an undergrad at a decent school in Europe and I'm looking to go into consulting.
I think I know what I need to do, but there are some things which I need advice on.

After reading the forums it seems that the best approach is to get some work experience and then a proper MBA. However, my school does have a pretty good masters education which I could start directly after my bachelor and I don't know which is the best choice. I have friends in the US who says that a good MBA is the way to go, but others say that it's better to not work and go straight for the masters.

What are the pro's and con's? Which would you suggest? How hard would it be for me, a European, to get a job with a consulting firm in the US immediately after my bachelor if I wanted to get some work experience for instance? Would having worked two years in the US give me better chances to get into a good MBA program than if I would have worked in Europe for two years?

Thanks for the advice

/C