Pros
Wear jeans to work every day. Excellent medical/dental/FSA benefits provided by outsourced HR. Developers coming from a large corporation will be relieved to be unencumbered by bureaucracy. Sysadmins do an good job of providing enterprise-quality dev infrastructure on a budget. Development is agile and there is a solid SDLC process. Could be a could gateway job to a career in equities/options trading.
Kontras
Be prepared to work 10-12 hour days to keep pace, and more at crunch time. PTO policy is archaic and uncompetitive, and there is no sick time. Don't expect to be paid comparably with developers putting in those kind of hours in midtown Manhattan. Don't expect a bonus, no matter how hard you work. Good people get laid off when money is tight.