Pros
I really believe that Capital One hires smart people. That doesn't necessarily mean that they are enjoyable to work with but the average person there "gets it" in my opinion. There is a lot of flexibility in terms of work style and how you perform your work. The benefits are good as well. In general Capital One is a laid-back place to work except when there is an important project to deliver within a certain time. Then it is probably about the same stress levels as any corporation.
Cons
I think it's the work. Ultimately it is a financial services corporation. You're not working on the next iPhone or consumer product that will delight the world. You are working on fine-tuning numbers to bring in more dollars for the company. The performance management process is a bit of a pain as it is quite a bit of work and not fully transparent. The opportunity for advancement has declined significantly since 2001 due to outsourcing and the economy.