Pros
Experience working at a big bank or a big corporation gives one a very interesting perspective on the world. Citigroup has, in the past, provided good opportunities for mobility and flexible work. There is currently an initiative underway to promote alternative working strategies which is beneficial to those with families and long commutes. As a junior candidate I've had the chance to work in a variety of different positions for a host of different managers and have truly developed many of my professional skills. The compensation overall (prior to the current year) has been very decent as well. Certain of the Senior Managers have also been very open and helpful in terms of career advice.
Cons
It is a big corporation with a lot of inefficiencies. For every experience where I have learned 1 thing to do, I have had a dozen which by observation I have learned what not to do. The company is very layered with a lot of management and entering as a junior individual it is difficult to climb the corporate ladder here. While many of your partners may recognize you and your achievements I have found that more often than not my own management has not expressed the same degree of recognition. Lastly, having demonstrated competencies at a wide range of tasks I've found that I've been pidgeonholed into where there is need, even if my particular skill set can add more value at other things.