People get "better" offers everyday. It is not uncommon for one to end employment with a firm only to chase another, better opportunity; however, your burnt bridges will be realized if you seperate yourself in an inappropriate manner. I have found that employers deal better with seperation when we are honest and clearly explain our inward intent.
Based on what you've wrote it sounds like your reason for moving is two-fold: (1) money isn't everything but the feeling of accomplishment and challenge is; you are considering an opportunity presented to you because you feel that it will be your next "challenge." (2) You need to be in a role that you enjoy--if you don't like captive audit, you will only create bitterness and resentment (subliminally) within and will one day take it out on your current employerl; thus burning a bridge/
Just be honest. I believe the outcome will be better than anticipated. They cannot hold you in error for wanting to better yourself and to take advantage of a better opportunity that was presented to you.