Pros
Weeden's summer internship program was a rewarding, educational, and enjoyable experience. You are given a tremendous amount of exposure to the markets and learn more than you would in many classes. The work environment is second to none. The partners are eager to educate and want you to succeed. Would do the program again in a heartbeat.
Cons
The only thing that may be considered a con by some is that you are expected at times to put yourself in a position to succeed. While the program does directly present you with a number of valuable opportunities, I would say that you gain the most by being outgoing and active; essentially you get out as much as you put in (which personally I believe is a good thing).