Like Aero95 said, you've got to have a passion for aerospace engineering, or else you won't make it. But if you've got the passion, it's an incredible major.
One of the many things that sets our program apart from others is the capstone senior design project. It's a year long course in which students select their own track (aircraft, rockets, or satellites) and get to form their own teams. During the first semester, students are given a request for proposal (RFP) from a mock customer, and must design a full-scale vehicle to meet the customer's needs. At the end of the semester, the teams present their designs to a gathering of Aggie aerospace alumni.
During the second semester, teams actually get to build their designs. I'm not exactly how it all works for rockets and satellites, but in airplanes, we scaled our design, made a wind tunnel model, did wind tunnel experiments, built a radio-controlled (RC) model from scratch, and get to fly the RC model! This was absolutely my favorite part of undergrad; and while I enjoyed being an aerospace major on the whole, this made every unenjoyable part of undergrad totally worth it. Plus, employers love to see this kind of hands on, cradle-to-grave design work.
This is me and my team with our final product, Amelia AirHeart (mission was for a UAV to fly organs between hospitals for transplants). I'm the farthest on the right.
Here is a video of one of our flights, in which the pilot does some acrobatics!