Pros
It's a company with one of the best reputations in the industry, and it's especially good working for a privately held in the current market environment. The constant internal message from senior management is that rule #1 is "what's right for the client"....no matter what your role is. I'm constantly impressed at the depth of knowledge at FMR (can't speak for other business units, but reference my "Cons"). I've worked at other firms and constantly feel that I work with some of the best and smartest people in the industry. Working for FMR (as opposed to other business units within Fidelity) is a real plus too.
Cons
It seems that compensation tends to be less competitive (at least in the non-supervisory roles). I think Fidelity recognizes that their name cache on your resume is "value enough" in their eyes for future opportunities outside of the the company. Because Fidelity has so many seperately managed business units under the "Fidelity Investments" umbrella, the cultures can vary widely. I've interacted with some employees in other business units (outside of FMR) who seem to have a very relaxed work environment ("think I'll leave at 3 today...it's Friday, and it's so nice outside!") or generally seem to be less impressive on a talent level-- some business units' Directors or even VPs are less qualified/knowledgable than many of the non-managers in FMR. That being said, there does seem to be either a little bit of arrogance from, or a little bit of jealousy toward, FMR in interactions between business units.