I'm actually working as a quant for a major bank, where I get to build statistical models for market risk. And I'd like to switch away from finance. I went into more details here, as to why:

Nuclear Phynance
In theory, data mining and machine learning type jobs are supposed to be paying a lot of money, but in reality that's only if you end up working for a top company, where the hiring process is fairly stringent.

I'm convinced that I want to switch away from finance and more into machine learning / IT type of a role, but I'm not sure how to make the swithch at this stage. As posted on Nuclear Phynance, I'm pretty much sold at switching to IT, but the question is how do I get into more ML-type roles. I have pretty basic ML background. I can review C++, data structures, statistics and ML (hidden Markov models, mixture of Gaussians, logistic regression, Monte Carlo methods (rich background in MC methods), Naive Bayes).

From what I've seen so far though, most ML positions already require knowledge of collaborative filtering, for example. Some roles already require Hadoop/MapReduce as well. Any ideas? I need to find more basic ML roles to start.