Pros
Excellent learning opportunities, public lectures, seminars etc. Great cultural offerings. Exposure to great academics.
Cons
Intense, work-driven environment, implicitly production-focused. Requires consciousness to balance work vs other, everyone is always busy. Administratively heavy, lots of paperwork, unnecessary or illogical 'requirements' that sacrifice learning experience. Closed community in some ways, can hard to have friends out of town, poor public transport for local travel. Have heard and experienced many graduate student horror stories. Untenured professors or other work-driven profs may treat graduate students poorly. Even though there is a lot of money at large, I feel it wasn't spent effectively on my personal education.
