Pros
Very rapid learning curve, opportunity to work with top management at well-known clients, very friendly office culture (at junior levels), very smart and motivated people, and a powerful addition to your CV.
Cons
As noted elsewhere, there is a powerfully-entrenched long-hours culture and absolutely constant and overwhelming pressure on teams. The PTO process is supposed to address this, but in London at least, has resulted in no real changes to partner behaviour, and so PTO sessions really just turn into grumbling sessions that don't change expectations. The fact that the name was changed from its original "predictable time off" to "predictability, teaming and open communication" is a pretty good clue. There is a very wide range of partner personality types. For example, judging by what consulting staff say, 3/4 of the London energy Partners have a ruthless, critical, and driving approach to teams, as do the private equity guys, while media Partners are at the other end of the scale in terms of personality and approach. Banking partners are in the middle. Career progression can be tough, with any negative feedback or issues with individual partners magnified out of proportion. At the Principal level, one bad project can be enough to derail your career. A lot of project approaches are very theoretical, and although what ultimately goes to clients is almost invariably of high quality, what the client sees is often a fraction of the work consultants are driven to do to satisfy partner desires for a perfect solution, rather than a practical one. With the wrong partner, case team meetings can be a nightmare. Finally, it is important to manage your exit timing, keeping in mind that even Partners rarely stay longer than seven years. Consultant or P/L is likely to have the best mix of exit options that don't require a big fall in salary and give good industry exposure. At P or Partner level, industry options become far fewer, and often require a big drop in compensation. Do keep in mind that in contrast to McK, the BCG alumni and career services network is rudimentary, so you will be on your own when you start looking!