Buzzing work environment, really smart people and varied work.
Pros
Bloomberg isn't really a finance company - it's a technology company whose primary clients happen to be in the financial sector. As such it is the equivalent of Google or Facebook in its world. For the software developer, it offers a chance to work on a large scale, distributed system used by 300,000+ premium clients to help them make decisions within the financial markets. This means solving problems of scalability and robustness on a scale which relatively few other companies other than the ones already mentioned may have to deal with. The work environment is friendly and open, and the company is constantly working to refresh its technologies in order to advance its products.
Cons
Bloomberg has vast amounts of code in its system -- and some of it is really old (Fortran 77 from the eighties or nineties). Having to work with or around some of this code may put off some developers.