Pros
Valve has managed to hire some of the smartest people in the world, and strangely, almost everyone there is easy to get along with. Valve pays almost double industry standard. It is a thriving company that is making more money than it knows what to do with. Anything you work on at Valve will affect millions of gamers worldwide. The CEO, Gabe, is truly brilliant, and any chance to hear him or talk with him is worth a lot.
Cons
The culture at Valve is a bit like a cult. There's a party line and if you veer from that, it is discouraged with one-liners rather than discussion. Valve cultivates the image of a company where anyone they hire can choose to tackle anything they want, but in reality, people who cause extra work for management can be fired without warning. The incentives are setup so the people who place themselves around upper management the most and are the loudest about what they're doing (that jives with what upper management likes) will be compensated several times more than those who don't. Therefore, if you can't sell yourself well, then Valve is not a good place to be. Gabe is a brilliant leader, but he is virtually invisible at the company at this point.