Pros
For associates out of college you Mu Sigma will send you to Bangalore India for up to six months for training. This is an amazing experience to be able to travel the world on someone else's wallet. Client exposure is pretty great if you're lucky. Get to lead a team right off the bat, learn a lot about analytics and data, and make good connections to the clients. Again, if you are lucky enough to get on an account where the client likes Mu Sigma and contractors. Working with an offshore team. Some people don't like it, some find it extremely challenging, but you get to work with an India team on development and it gives you very valuable experience being able to work with a completely different culture and help manage projects with them.
Cons
Very little pay. Associates in the US are on a fixed three year track, which means if you are the best performing associate for the first three years, you get paid the same as the worst performing slacker in the company (which there are plenty). No bonus incentives whatsoever (sorry top performers, but you don't get any benefits here!). This causes a huge turnover within the company, from the associate to regional head level. Management is sketchy at best. There are a few good stories of good managers, but many horror stories of managers who over commit to clients, underperform and generally have no leadership skills. Prepare to be in a location one week and a new city the next, Mu Sigma constantly moves associates around to meet demand, meaning you don't get to stay too long in any one place. They will tell you that you will stay in a location anywhere from 1-1.5years, but really that is not the case for most people. Very little guidance when you get put into your client role. Expect your entire job to be "Googled" so that you can accomplish what your manager has promised a client, and expect to work long hours in order to accomplish it on time.