Pro: you don't need to teach them to move forward. They easily take contact with the bit. They have had all the time in the LDR frame and the loins/hamstrings/etc are already strong. And they are sensitive forward going horses.
Con: post racing physical trauma, you need to teach walk, halt, slow trot, teach them to sit on their quarters and then progress to slow canters, you will need to avoid hacking until they understand polite conversation with your seat and hand.
They are normal horses. They don't differ in character to the next wb or cob. They have just had different training. Use a trainer when you get stuck (asap)!!!
The major pro is that they are athletic, attractive horses, that are cheap because they need training. The major negative is that they usually will need training before they can be a reliable mount.
I've had two. I think it's important to remember they truly are just horses, as in, treat them like you would any other horse. If you are comfortable handling green horses, you will be fine. You could take it on as thought you were starting a completely unbroke horse, or you can consider it retraining their mindset. I've found TB's very easy as long as you build them up in progressive steps (again though... like training any horse!)
There's a great book called "Beyond the Track," that fully explains the method to take. It's a really great book, I found it super useful for my first TB, which I trained by myself. https://www.amazon.com/Beyond-Track-Retraining-Thoroughbred-Racecourse/dp/1570764026/ref=sr_1_1?ie=UTF8&qid=1497213605&sr=8-1&keywords=beyond+the+track
If this is your first horse, or first horse that needs training, the easiest and least stressful option will always be to work with a trainer. If you do it on your own, you may find yourself with issues you don't know how to handle, which may develop into bigger issues that end up scaring you. (But again, that can happen with any green horse, not just TBs!)
I have an OTTB mare. You really need to make sure you take the time to teach them how to be a horse again. They are so dependent on this routine they have and if they change that routine that can kind of fall apart sometimes. Work on getting them desentitized to a LOT of things. Throw the rope at them, plastic bags, blankets, plastic sheets, make them go over small jumps on a lunge. Sometimes they have really bad confidence and this will help. But they can be some of the hardest working horses I have ever seen and if you work hard with them you can really get whatever you want.
I retrained my hot(!) OTTB mare nearly by myself and only took lessons every once in a while. So it is completely doable by yourself but you have to be patient and understand you are going to fail a lot before it gets significantly better. Work for a 1% at least improvement on something every time you work with them.