Pros
Great salary and benefits, fantastic development opportunities. There's a high bar on performance but those who excel can write their own ticket--the firm will go to great lengths to keep them happy, and they typically get a lot of choice on projects. Great exposure to senior folks--as a consultant I typically interact with people 3-4 rungs above where my b-school classmates would come into the client organization, and senior leadership / c-suite at smaller clients. As a project leader, you're interacting with senior leadership regularly; PL's on my cases present to country leadership, global leadership, boards of directors. Exit options are similarly accelerated. The people are great--very nice, interesting group of people. I find the culture very socially inclusive and not clique-y.
Cons
Hours and travel can be rough, but great travel / benefits perks go a long way to evening that out (ie no per diem or meal limits, company doesn't get fussed about expenses--they know you're working hard you get appropriate leeway on the soft stuff). Know what you're getting into and this won't be a problem. NY office typically travels less. The bigger challenge is that some projects will just suck. No way around it, and every now and then you'll get stuck on one. There are more peaks and valleys to this job than industry jobs, but BCG does a better job of taking care of their people than is the case at most other firms where friends of mine work.