Pros
The choices. Pick a field. Microsoft is probably involved in it, and you can be a part of our work to become the leader or, if we are already the best in the field, to improve the state of the art. Money is not an obstacle. The lower ranks can bring significant change to products. The development process. There are some downsides to the systems and bureaucracy at MS, but after being in the business for 30 years, they are trying their best to improve and bring consistency to the way software is written. Having worked for companies that do not care about a product other than getting it out the door, this is a huge win.
Cons
The location. To live in a city with nightlife (or _any_ entertainment), you must suffer an hour-long commute each way in heavy traffic. The speed of the company as a whole. Don't get me wrong - individual product units can be very agile and work cross-team (hundreds of employees), but to really mobilize across entire organizations takes multiple releases. This can sometimes mean that the customer has to wait, which is frustrating for anyone who has come from a small-company background. The lack of attrition. I don't know anyone who has been fired from Microsoft. I have not met many people who deserve it, but when you do find them, you really question the management of the company.