Pros
Consulting fees are decent, higher than EU, USAID and others. It is great working with very sharp, switched on people. Even as a consultant, you will have access to high level officials in the countries where you work, some of whom can actually make decisions! The work is usually fascinating and challenging and at a higher more strategic level than the trenches you must endure with USAID.
Cons
As a consultant, you are considered World Bank staff, but staff without most benefits. You are restricted from joining a vendor on other WB projects, even if that project is totally unrelated to current work. Too restrictive and nonsensical. The WB managers that one works for do not quite seem to know how best to work with consultants. The scopes of work are often unrealistic given the amount of time allocated, unless full information were available, which in emerging markets is almost never the case. In addition, if you are working on strategies, expectations as to whom in Government will implement the strategies is often very unrealistic and disconnected from reality.