Pros
A great place to learn from very smart and experienced people. I sometimes hear from people at other employers complain about incomptent coworkers. While I do not agree with everyone (or may think they are arguing for a bad idea) I respect those around me a great deal and often find myself learning a great deal from them. Great opportunities for visibility both internally and externally. Internally, I find for the most part accomplishments are recognized and rewarded (either via advancement or individual awards). Externally, I can maybe name a handful of companies where your work will be seen and used by more people during the course of their day.
Cons
Size of the company, the anti-trust laws/rulings/settlements, and management makes coordination sometimes difficult. Can be frustrating to have projects with similar goals running that are similar but not working together. Or worse to have projects that pushing in different directions. It can sometimes feel like a few smaller compaines under one masthead rather than one unified whole. The negative perception of the company externally can at times be annoying. The myths and misconceptions regarding Microsoft are many and varied and it can take a little getting used (especially to resist the urge to correct them - which is often futile).