Pros
Sandia is filled with challenging and relevant work opportunities where you can feel like your work truly impacts the nation. In addition, there are useful benefits, such as a flexible 9/80 work schedule. The Livermore, CA location is also situated conveniently close to the San Francisco Bay Area. The people at work are generally easy to get along with and competent in their respective fields. I have only recently begun working for Sandia, so I have yet to see the effect of programs such Employee Recognition Awards and the like. There is a good education program, however, which allows you to pursue further educational opportunities.
Cons
Some of the downsides involve government bureaucracy and inability to discuss your work with others. As a national laboratory, it is occasionally bogged down with the red tape of government work. There is also great sensitivity to legislative activities, where decisions in Congress can actually trickle down to affect your project directly -- this isn't something that you'd typically encounter in private industry. Furthermore, much of the work is classified, and that results in an inability to discuss your work with close friends or family. This is sometimes frustrating, and the allure of saying "if I tell you, I'd have to kill you" wears off with time. Also, there is a nagging feeling that you aren't being compensated at market value because it is a government position.