Pros
Working at the Overseas Private Investment Corporation was a good step for me to get a good grounding in finance before trying to get a private sector job. I knew very little about financial statement analysis, and was able to learn to analyze each statement in detail and make intelligent judgments about companies in a number of different markets. My supervisors were supportive, and being that it was a government employee, there was never any rush for me to produce. This gave me a easy-going learning environment that would not have been possible in the private sector. Overall, I would recommend internships there.
Cons
While the government pace of working at OPIC can provide a relaxing learning environment, it can also be maddeningly boring. Many of the other interns at OPIC found that they did not have many meaningful assignments - I believe that this is related to the fact that supervisors at OPIC don't have a private sector incentive to get value from your work.
A related annoying of working at OPIC is that it has a strikingly non-congenial work atmosphere. People aren't rude or intentional standoff-ish, but are in general not very easy to communicate with. I think this is because most employees are ex-bankers who have settled and have a family, and found OPIC (unsurprisingly) to be the easiest way to make a decent salary in the government.