Pros
John Mack is an excellent leader, and communicates openly with his employees, which is unlike most Wall Street CEOs. His character really came through during the financial crisis. MS does its best to treat employees well, attempting annual performance evaluations, promotions, etc. Bonuses are typically good, when the fiscal year and business is good. They offer a solid benefits package, with emphasis on work life balance to compensate for certain things they can't provide being based in New York City (e.g., on-site childcare, health center for all employees, etc.). The people there are by and large very smart, accountable, and respectful.
Cons
During the 2008 financial crisis, massive layoffs, terrible bonuses, and general uncertainty every day.