Tell your consulting company -- give them notice -- and let your company's sales rep or business person tell the client. That's their job, not yours.
Is it a courtesy for you to tell the client? Maybe you could argue that. But I don't agree. I do not think they should hear it from you. Seriously.
This business relationship doesn't belong to you personally, it belongs to your employer. They have the duty to figure out how to keep serving this client after you are gone, and make that part of their conversation with the client. If you tell the client, you make it harder for your company.
If you're careful, you can talk to the client right after your sales guy drops the hammer on him. But it would be unprofessional for you to drop the hammer on them yourself without having a service-continuity plan to present.