I’ve moved from agency to in-house about 3 years ago. In the agency, I’ve worked with small businesses and moved to an international financial company.
It’s not easier, but you can do much more interesting tasks, experiment with more features, etc. You have more data, so you can optimize your campaigns better. With more budgets, you can participate in more beta-tests from ad systems and it’s a great experience.
I would say there is more pressure, because in the agency if you lose one client it’s not such a big deal as if you’d lose your job.
There are much more office politics in-house than it’s in agencies and you’ll need to communicate with people who have zero ideas about marketing and not directly interested in the development of business.
I’d say overall it’s an interesting experience and worth it.