i agree with ann - but then, you CAN get into research without a PhD (at least in the social sciences you can, don't know about the rest).
however, your first research job will be the hardest to get. you'll need lots of perseverance and will have to deal with lots of turn-downs. that's not always easy.
in my experience, those of my friends who went into market research - for lack of other alternatives, mostly - never came back. perhaps while it won't hurt having market research experience on your CV, it won't help much either.
the people i know who are in research without having a PhD all started with tiny projects, badly paid, usually from non-profit organisations, charities, non-commercial organisations who want something researched but can't afford to employ a 'real' researcher. that way they built up experience and got a list of publications and references - every next project was easier.