Pros
Project based work -- always get to move onto something new. Also you generally have a lot of flexibility about how you go about your work. Exception might be for work being reviewed by an auditor, in which case you have to play by their rules. Amount of variety is outstanding. You end up being exposed to a vast array of industries involving every conceivable product or service. There are some businesses that are so nich and would never be on your spectrum if you are just analyzing public companies. You meet a lot of interesting people at the client companies. You develop a deeper understanding of business and realize that the textbook view of business is not so cut and dry as a pure maximization of profits that necessarily occurs for a company with a wide ownership base (i.e.- a public company).
Cons
A lot of mediocre people. You get a lot of finance guys who couldn't quite get into banking, asset management, etc. Or you get the bean counters who move up into business valuation, especially since all the accounting firms now have valuation practices. As an extension, the field is becoming more and more dominated by the accounting firms and thus it's becoming very formulaic in their valuations, and generally not much insight. Worse, they have increasing clout and are influencing the way the profession is evolving. If you've ever dealt with auditors, then you know why this is not a great outlook. Pay can be crappy relative to other finance jobs. A lot of the same old ideas are rehashed over and over. People do attempt to innovate on the theoretical front, but I haven't seen too much that was truly original. Even then, it wouldn't make its way out of the valuation community. Fees are definitely coming down or at least stagnant. Again, too many bean counters getting into the game.