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.