Pros
Unlike other companies, Mu Sigma provides a chance to actively and directly engage with the client from an early stage. Learning and implementing on-the-fly, working under hard deadlines and pulling out of seemingly impossible situations helps groom an individual for the longer run. College-like atmosphere, merit based allocation of work/responsibilities and the chance to freely interact with the senior-most members of the company (including the Founder-CEO) are additional plus points.
Cons
Time spent in office are more than "normal", but average working hours aren't. Pay is less than average for the the first year/year and a half, however this too evens out in the long run. Exposure to different verticals does happen but takes time and is again merit/need based (may leave a few folks disappointed).