Applied after seeing a listing on my university's career website. Within a week was contacted by a recruiter to schedule a basic phone interview going over my resume and the company. A few days later, I was contacted about scheduling another phone interview with a current analyst, which was behavioral and included logic/brain teaser questions. After this interview, I was contacted about doing an on-site interview in Chicago. As stated, and they do inform you of this clearly, travel expense are not reimbursed.
The office is very modern, chic, and in a fantastic location. Everyone I met during my interviews, from the lead recruiter to principals and analysts, were very nice and easy to connect with. Prior to the interviews I had to complete a personality test at home, and the on-site process began with a 12 minute wonderlic test (move fast) and 4 30-45 minute 1:1 interviews. The interviews were all behavioral, some included logic/brainteasers, and there was plenty of time for questions. I received positive feedback following my visit and a formal offer roughly a week and a half later.
Main advice: Practice logic and brainteasers with a book or on-line to get your brain in shape. Some don't have an answer (more about thought process), and some do. Just make sure you can walk through it like a case interview and show your reasoning. Other than that, I felt like cultural fit is huge, so be yourself, be confident, and personable, don't be afraid to laugh a little, and of course, be professional.