Can you be more specific? That's a pretty broad question, as financial goes from theoretical economic research to front-line accounting. The Fed has higher salaries than executive branch. Treasury can have more influence and be more interesting, depending on department and position. For budgeting, OMB, and then the budget offices of all the agencies. There are lots of smaller agencies: FDIC, CFPB, SEC, SBA, etc.
Also see
http://bestplacestowork.org/BPTW/index.php for survey results.