What I liked
The company is located in the most interesting and diverse city in the US, and you have full access to everything you would want to do! There are many intern events that you can attend, although a lot of them happen before quarterly students make it to Bloomberg, so you may miss out on some events.
The pay is really great for an internship, and the various stipends make living in New York for the summer relatively affordable; you will have quite a lot of money left over after expenses in order to do what you want in New York.
The work is very team dependent, but I was on a really cool team that had interesting problems and cool projects that were being worked.