Pros
Working with extremely intelligent, kind, and dedicated people. Learning opportunities never cease in either financial or technical domains. Salary and benefits are unbelievable. The name is well-respected in the financial world. Very tolerant and patient with new developers. Offices throughout the world can make travel a lot of fun.
Cons
By virtue of being such a large company with thousands of developers, Bloomberg can't always offer interesting projects to everyone, so it takes a long time to make tangible impact on a product. Development is very slow because the developer tools are either nonexistent or impossible to use. There are many incomplete home-brew solutions. WIth that said, there has been a lot of effort to correct these issues and retain talent over the years. Not a lot of interaction between the various divisions of the company.