Pros
You can make a lot of money, even though the company has convinced itself and many of its employees that it doesn't pay "that much". Great benefits. Exceptionally bright and open-minded workforce overall. If you're into capital markets, everyone recruiting you after you decide to resign or get fired (/"sorted") will be impressed, and want to hear about your experience there. BW is a leader in its field - you can learn a ton from applying the Principles to markets/investing. Personally, I also enjoyed the Principles as a tool for management. Finally, on the very slim chance (0.00001%) that you are a good values and abilities fit...and have the stamina...sky is the limit!
Cons
No job security; everyone there is a data point, especially more senior/accomplished individuals. Their HR/Recruiting team is in constant flux, and depends on armies of headhunters to fill their openings; so it often happens that new employees fall into jobs that are miles away from what they expected (in a bad way). If you live in NYC, the commute is unbearable, even with the cushy company buses (3 hrs total / day on average; 2.5 hrs total / day on a good day...).