Pros
I was on the credit risk team for front office, and sat on the trading floor. The work environment is amazing: fast-paced, loud, collaborative. You get to work with people that are very smart and good at what they do, many of whom have years of experience and a deep understanding of their jobs. The work was diverse, with new month-long projects appearing regularly, interspersed with regular requests for calculations or information with a 5-minute turnaround.
Cons
As one might expect: eventually you ask yourself what you're really contributing to the world. Banks do provide a necessary service to the business world, and capital markets are no different, but there's a difference between challenging and interesting work, and work you're passionate about.