Pros
The work at twosigma - esp. quant work - is a lot of fun. The culture is great - its very techie / mathy, and the people are of top caliber. The work environment is low pressure, low bureaucracy, and very open towards new ideas. Also, they try to give you the tools (and data) needed to get your job done - though not always successfully. Furthermore, being a place full of computer scientists, the emphasis is on doing things efficiently and smartly, rather than putting in donkey hours. As long as you get your work done, nobody cares about what time you came or left. For me, that is a big advantage of this place over other finance / fin-tech jobs. All in all, its like working for a great tech company at a significantly better pay.
Cons
The tech infrastructure is a bit old and rickety - although there are serious efforts to upgrade. Also, the level of secrecy (esp. on the quant side) is crazy high - and makes working here a somewhat solitary and siloed experience. There aren't many outside-work team activities / events either - you come, you work, you go home. And while the pay is great by tech standards, it's not classical trader / hedge-fund level money - until to you get into the top management. The bonus is unfortunately not an appreciable percentage of the alpha you generate. Also, the on-site perks / facilities are very meh - when compared to tech companies and when considering that it is a really successful hedge-fund.