Pros
You will undoubtedly learn an insane amount about how the art world works and big business. The amount I learned about art far exceeded anything I learned in college and the people you work with, are for the most part, some of the most interesting and knowledgeable people in the field. If you want to work in the art world, this is it folks. Benefits are great - especially the vacation time.
Cons
I saw the glass ceiling pretty quickly after being promoted with no raise. Because of the name, they pay you barely anything. I could have, and sometimes wish, I had just waited tables because I probably would have had more fun and made twice as much as I did while working at Christie's for three years. Being young is a huge disadvantage and the structure of the company is so traditional it makes for any sort of movement from mid to senior level almost impossible. Yes Christie's has been around since 1766, but there's really no longer any reason so continue acting like it is 1766. The work life balance is non-existent. They give you a blackberry for a reason, so you can get emails 24/7 and respond to those emails. Be prepared to work upwards of 60+ hours a week during the season.