Pros
By far my favorite part of working at AppNexus is the enthusiasm for collaboration. It's easy to find people at software companies who think they're the smartest person in the room; it's harder to find people who are simultaneously opinionated, informed, and willing to admit that someone else might have a better idea. The work/life balance is phenomenal, at least compared to anecdotes I've heard about other companies. Most people in my office clear out at 5 PM, and for the working on weekends is basically unheard of. I truly believe that the company's leadership is as capable, intelligent, and forward-thinking a group of people as you'll find in the industry. I think they have both a genuine interest in improving the relationship between publishers/advertisers/users and the ability to turn that interest into a successful, long-running business.
Cons
I think the main problem with AppNexus is that its middle managers - a role which is the butt of many jokes, but is essential to the success of any organization - are hit-or-miss. Some are great at listening to the concerns of those under them, and taking action to address said concerns; some are not. If you end up under one of the good ones, you will probably love AppNexus and stay for a long time. If you end up under one of the bad ones (who, it should be said, are usually guilty of nothing worse than negligence or laziness), you might have a much more frustrating experience.