Pros
Very bright people and very good name to have on your resume. The reputation of this firm will go a long will in furthering you career.
Cons
Where to start? Culture is exclusive so if you're a non-Ivy be ready to feel like an outcast. Hours were ridiculous and not worth the average salary/bonus. After being promoted to Associate I was essentially still working analyst hours; even the bosses put in super long work days (12 hours is standard, often longer than that). Certain bosses designated to be the quasi-HR point persons in the risk group were unprofessional and often crossed boundries - any complaints will get you labeled as a wuss. There are some lawsuits waiting to happen at this shop. Competition is so cut-throat that training is often lacking (trainers doesn't want trainee to have an edge on him).