Pros
Pay and benefits top notch, bonus very good compared to a lot software jobs. The building is amazing. Snacks are ok (but they get you fat). Free entry into NY museums and cultural events. A lot of very smart people, and the work will definitely keep you busy. You get code into production fast compared to many software jobs, where the turn around on a project might be months to years. At Bloomberg projects many projects last weeks.
Cons
Technology is extremely proprietary. You're not working with open source technology, or even Microsoft tools. You're working with Bloomberg specific technologies, many of which date back to hacky solutions from the early 80s. A lot of the new stuff is poorly documented and in a constant state of flux. I often am jealous of my friends who get to work with more interesting technology, even though I'm better compensated. The management is a bit lacking. The structure is very loose (which can be a good thing), but sometimes things feel disorganized. They don't employ any software methodologies or process, so even though they use rapid development, projects are poorly organized and lack planning and testing. This also can make projects more stressful than they need to be.