Pros
The office has a pretty relaxed culture, with an office Segway, massage chair, and video games, and working here doesn't have you feeling stressed out at the end of each day. Everyone's very supportive of each other and get along really well, and there are fun office-wide activities fairly regularly. The office gets food catered twice a week, and sometimes more often than that, and the company has two annual trips (including a ski trip) for all of its employees. Something I particularly like about the analyst position is that there are many different types of roles in the analyst team depending on where your interests and strengths lie, and the management has encouraged me to look for professional development opportunities (courses or conferences) that can help develop my skills in the direction I'm interested in.
Cons
You probably need to be a pretty self-motivated person to be able to be effective here, since you'll be given plenty of space to work the way you want, which can either work for you or against you. You do also deal with some of the standard cons to start-ups in general, since your salary may be lower for the same position than it would at a larger company, and you'll have less mobility if you want to live in new places but still want to work for the same company.