Pros
There'll always be the rivalry between McKinsey and BCG, but arguably this is the world's smartest management consulting company. You'll meet amazing people and learn a lot in a very short time. McK and BCG are both splendid companies. The primary difference relevant for the job-seeker is cultural: McK has a bit of a reputation for their consultants coming out of a cookie cutter, and BCG has bit of a reputation for being a bit more colorful in terms of the people there. Both of these reputations are, of course, stereotypes, but they aren't undeserved. (And Bain has a reputation for being a frat house...) Benefits are amazing, too--where else do kids fresh out of school fly in the better part of the plane?
Cons
It's up-or-out and the qualities measured in the very competitive hiring process aren't necessarily the same qualities needed to thrive there in the long run. The hiring process is essentially an applied IQ test--be brighter than everyone else and somewhat presentable to client who'll pay very heavily for your time, and you'll get the job. The IQ needed to get in comes in very handy during the first years as an Associate or Consultant. But eventually the role will turn first into a project management and then into a sales role, combined with being a good shrink for CEOs whom they trust and like. The qualities needed in these roles arguably are quite different from the brain power needed to get in. Also, the intense up-or-out environment sometimes can bring out the worst in people--it's rare, but can be unpleasant.