its a butterfly valve in the turbo y-pipe (I think) that as Powerstroke7.3 said, closes off the exhaust to help the truck warm up on cold days by making the engine work harder.. it stays partially closed depending on
WOT or not and putting your foot on the brake to shift (it opens, then closes back if still not warmed up)
the pro's -- better mileage b/c the valve won't be shut and making the engine work harder while in motion - better air flow b/c even open, the valve takes up about 1/3 I'd say the area inside the pipe
the con's -- I guess your truck might not warm up "as fast", but other than that... there are none I don't think...