Pros
The exposure and importance of projects is not comparable to most jobs in the market except for perhaps the IMF or the ILO. I received constant constructive feedback that improved my economic analysis and writing skills. Compared to academia or think-tanks, you can truly make an impact in your areas of passion (i.e. whether it's in health, labor policy, etc..) Compared to my prior jobs in academia or private sector, most WB workers are truly driven and passionate about their work, which motivates to you work on yourself and grow further.
Cons
There is simply no work-life balance, even seniors in my department typically worked on a typical Saturday/Sunday afternoon. As a result, as a junior researcher, you are not only implicitly expected to check your phone/email until 10 pm on weekdays but also regularly respond to emails on weekends. You may wonder what happens if you don't? Well, you will not confronted about it directly, but an email chain of 8-9 emails will have been exchanged on the weekend and the conversation on Monday morning will start from where the 9th email exchange has ended. In other words, even if you don't read your e-mails on weekends, you will miss out and be confused as hell on weekdays, and thus you are expected to check your emails every hour on weekends. Some but not all seniors like to constantly keep ETCs and STCs on "their toes" by not telling them about a contract renewal until the week before the expiration, and the rationale is to avoid making juniors enter a "comfort zone," which comes at a huge mental cost for juniors.