Jobs for Physicists Outside Academia

Strategic management consulting (e.g. McKinsey & Company, The Boston Consulting Group, Roland Berger Strategy Consultants, Mercer)
Financial risk consulting (e.g. d-fine, Roland Berger Strategy Consultants, Ernst & Young, KPMG, Towers Perrin/Tillinghast Insurance Consulting, Deloitte)
Financial risk management (e.g. Deutsche Bank, Daimler)
Risk assessment & insurances (e.g. Munich Re, Swiss Re, Trans Re Zurich)
Quantitative analyst in finance (e.g. UBS, HSBC Trinkaus & Burkhardt, Renaissance Technologies)
IT consulting (e.g. Accenture, IBM)
IT development (e.g. SAP, infineon, Qimonda, AMD, IBM)
Bioinformatics & data mining (e.g. Genedata, Novartis, GlaxoSmithKline, SAS; see also this article)
Scientific programming & applied research (e.g. Bosch, Siemens, Fraunhofer-Gesellschaft, Schlumberger, United Technologies, Airbus, EADS)
Statistical and mathematical consulting (e.g. William E. Wecker Associates Inc.)
Technology and engineering consulting (e.g. ELORET, RWDI, BERATA/Altran, JQS Investment Advisors)

Some open positions can be found here