Pros
Great career opportunities early on. Get great industry knowledge and experience with leading companies right from the start. You work with very smart, highly competitive people that mostly are looking to succeed. The flexibility you get once you move deeper into your career is probably the greatest benefit of all. The ability to work from home and flex your hours is excellent. However, this is very difficult to do early in your career and is a benefit only realized when you are there 6+ or so years and not every person will realize it depending on your team / group.
Cons
The industry standard is very long hours and travel. We work for our clients are subject to their needs and demands as well as the needs and demands of your supervisor. This can be extremely stressful early on in your career. Promotions are given to those who are in the 'in'. I have seen highly competent people passed up for promotion while a partner 'friend' gets the promo 2 years early. As you move forward in your career, the bar just keeps getting higher as well. You always have to do more then the partner/ director/ manager promotion class before you.