High pressure and stress, primarily because of the constant nerve-racking deadlines. Having long hours causing you to come in early and leave late. Agency jobs lack the stability causing you to question where your next meal is going to come from. Low respect, giving you a low status from clients and mangers. Many people don't trust advertising because the business and its employees are seen as dishonest and misleading.
Advertising is a cut-throat business where being competitive is the key.
It is hard to explain to people what you actually do. You need self-confidence and a thick skin.