Pros
They have nice health benefits, especially if you have a spouse and kids. However, this will change in 2013 when they adopt a health program more similar to other companies. The days of the Cadillac Health Plan, while great, are sadly coming to a close. Outside of that, if you can thrive in the high stress and ultra-competetive work culture they foster and consistently hit the top of the annual performance review curve, the top 5-10% see some pretty great rewards.
Cons
However, if you are not in the top 5-10% of the annual performance review curve, the rewards are substantially different and less impressive. Depending on the organization, there can also be high levels of political gamesmanship and favor currying. Many teams drive too much to advertise and evangelize the work they are doing instead of actually doing the work, and unfortunately it works for now (but it won't always). The annual review system still fosters a predatory competetive culture versus a cooperative competetive culture. Senior management's philosophies on employees and employee retention have changed over the years as well. There used to be a strong belief in recovery, however that is not the case in the Windows organization today. As long as an employee produces and never needs any more-than-perfunctory maintenence, you will be fine. However, if more course correction than that is needed (and over a multi-year career, even super smart people occasionally need an assist here or there), the philosophy today seems to be to cut bait and just bring in another body. Microsoft always has said they invest in their people, however their actions more accurately reflected their words years ago than they do today.