I play a consular I'm a level 46 sage right now and I've been enjoying myself. The story is pretty cool and doesn't get boring. I'm leveling as a healer which makes finding groups for flash points and heroic quests easier but makes questing a little tougher because I always need a tank companion and I'm constantly healing it. overall the sage is a very fun and pretty easy class to get started.
I can't really comment on the Jedi Shadow, I know the story will be entertaining and I've seen some great ones and they look really fun, but I don't know how easy they are to play.
As for your Jedi Knight, I've heard from many people that they start liking playing the Knight much more after level 30, you may want to try and level to 30+ and see how you feel about it before you re-roll another character.