As an independent Consultant on a 1099, Would it be better to set up an S-Corp. or just have the money put directly into my bank account under my name

As a general matter, you will not accomplish any income tax advantage by incorporating your single-person business. Because the nature of an S corporation is that income is flowed through to the stockholders (or, in your case, sole stockholder), you will be taxed on the same net income that you would have reported on Schedule C and the owner of a sole proprietorship. There are some minor exceptions to this rule, such as the treatment of Social Security and Medicare taxes, but they are likely not to be of much difference in most cases.