Pros
Much exposure to all aspects of financial markets, you get to understand different banking processes. Very interesting to understand how data is transmitted around the bank and the possibilities offered by a trading system like Wall Street. A great overall experience, and colleagues are usually ready to assist you... there is a wealth of knowledge among the business analysts who do the hard job of facing the client.
Cons
(Un?)-official management push for those consultants who are not technical to become technical: this can be a pain if you have no inclination to do the techies' job but it is quite interesting... to a point. Many developers and techies are overworked and they can be very quickly irritated for no apparent reason. Work done by development is sometimes amazingly shoddy, which means that work is sent back for re-work.