Pros
Oliver Wyman provides a faster track to partnership than competitors. Partially this is achieved through faster specialization. No MBA is required for advancement (though they are sponsored if you want one). The extra time in the industry is viewed as more beneficial than the MBA. The culture is very meritocratic, entrepreneurial and team-oriented with almost no work-place politics to deal with.
Cons
If you're not in consulting for the long-haul, it offers a less-clear "value proposition." The brand name isn't as good as competing firms, which may be important for your next career (though I hope this will slowly change). The lack of emphasis on an MBA may hinder your future career choices outside Oliver Wyman unless you make obtaining one a personal priority.