Pros
You learn a lot. Early direct exposure to top clients, which is a great teaching experience. A lot of the analysis is primary-research driven, which means that you end talking to a lot of senior executives in the sector you track. If you're thick-skinned enough to handle the phone-slamming, you'll learn a hell of a lot from the ones who do speak to you - which is a great way to drive professional growth. If you're trying to start a career in consulting, serious about being good at what you do, and tough enough to handle the downsides (see below) - it's a very good place to start your career. Only do this, though, if you're a really focused person (and tough enough to handle the cons). Spend a couple of years - but then, move on.
Cons
The pay is awful - but that could be borne (given the great learning), if the management cared about you. They don't. Forget about coddling employees - they care nothing for your time, little for your talent (you get some strange people being promoted), and little for your development as a professional. You work very long hours - not a problem if that was what the job entailed, but a serious pain when it happens simply because the management is not competent enough to do some simple work structuring. Half the managers don't seem to know the basic job and role of an analyst very well - a real problem, in a talent-driven profession. It quickly becomes *your* problem, when it comes to work allocation. Deadlines have little meaning - some people get months to finish a week's job, others get a week to finish enormous assignments. It is as though the management just goes through the motions of managing. There is zero - literally, zero - investment in people. Little internal training, no external training. It's sad, because the few good managers there are really superb.