Pros
The environment is very stimulating with lots of activities going on simultaneously. There's finance, knowledge management, economic development and helping those in need/reducing poverty all rolled into one organization. If you're in the right department, the pace can be quick and interesting.
Cons
It's a staid, top heavy place - an inverted pyramid. Many people come to the World Bank with quite a bit of experience and they stay there for a long time. You're a youngster if you've worked there 5 years and there is quite a bit of competition to move up. There are also pockets of nationalism in some departments which runs counter to the very diversity the World Bank aspires to exemplify. This also makes it a more political place than most although this doesn't mean you won't find nice people working there. You just have to look a little harder.