I can't speak for the whole industry as I've only worked at one firm, but my experience has been generally positive:

1. The work environment is similar to the software companies I interned with. Nobody wears a suit, the hierarchy is relatively flat, free food/soda/etc.

2. The problems are really interesting. HFT is a competitive game and good (read: fast and reliable) technology is just as important as smart algorithms.

The only downside? It's difficult to leave. I've had coworkers that have been around a while say that people generally don't leave the industry voluntarily.

Why? Money. I'm not trying to be a braggart but I can say with a high degree of certainty that I will never make as much as a developer at a normal software shop as I do now, with the exception of launching or getting in at the very early stages of a successful startup.

Believe me, I get the whole "money isn't everything", "adding real social value is more rewarding" mindset, I do. The reality is though that it isn't easy to halve your salary based on a philosophical argument, however persuasive, especially when you're still working on cool problems.