The biggest challenge for me was that the work was just so boring. The technologies used are ancient, and honestly, I hate the terminal. I did not appreciate having to use the terminal to get even the most simple tasks done. There's a culture of building everything in-house, and this is NOT a good thing. There are fantastic databases and email clients out there, but Bloomberg employees are instead stuck using some guy's afterthought side project instead of those functional outside products. It's a serious drain on productivity. Also, the process to move code to beta and production is extremely draconian and micro-managed. In any other company, I could accomplish in two weeks what it took me two months to do at Bloomberg.
If you envision yourself having a "cushy" job and being a "lifer" and loving that lifestyle, you'll love Bloomberg. If you feel even a modicum of passion for your work (as a developer), you might want to think twice.