Pros: Limitless number of things to do, people to meet, communities to be a part of. And Broadway (for me). I also enjoy not needing a car.
Cons: Yes it's expensive. Apartments are a choice between: good location, good size, good price (choose two). More shit seems to be going down in the subway (sometimes the literal kind).
Also, there's a kind of art to apartment hunting in NYC. Once you master it, finding an apartment isn't that bad. I've always gotten a pretty good deal and always had a choice between a few apartments. Staying away from trendier neighborhoods is my first rule (way overpriced.. and this is what most ppl see first before digging deeper). I guess the second rule is know thyself - knowing what annoyances you can tolerate will help you find the types of housing that'll conceivably work for you.