Pros
Good team (there are literally thousands people working here, so you may not get a good one, but I have a really good one).
Family Insurance including dentist.
Good office (AA class).
Additional benefits: food compensation, gym, chill-out rooms, music room, coffee machines and so on.
Company makes a lot of charity and activism (including blood donor campaigns, orphanage help, waste paper collection and a lot-lot more), and encourages this in employees, which is a rare thing for Russian employer.
Cool team-buildings and corporate parties.
Cons
As a big corporation Kaspersky has a lot of bureaucracy in R&D processes (and maybe elsewhere, but I can talk only about R&D department). Often it kills off good ideas and improvements.