Pros
People: enthusiastic and smart. It is a pleasure to work with most individuals. Also, as an expat in Copenhagen, more than half of my friends group are current or ex-colleagues at Microsoft. Agility: most we do is relevant work, with no stiff procedures to get in the way. We are trying out various ways of managing projects, and not limiting ourselves to a given formula (although scrum has been the thing for a few years, until we moved on). Technology: depending on the team / most teams work on quite exciting stuff.
Cons
Most of the teams are on weekly on-call support (including nights). Some teams have been asked to work weekends (both Sat and Sun) for several months (and consequently many people left Microsoft because of this). Promotions are much slower than in the rest of the industry. You can get stuck in some "dead end" teams, as internal transfers within the same product are much more difficult than just leaving for another company or another product.