I first had a phone interview in which the interviewer wanted to find out more about you as a person. They asked questions like what was your favorite class in college, why you made certain career moves, and why you are interested in this job. Pretty generic, however it was clear that they were not interested in hearing the typical BS wall street answers, but they wanted to honestly know your thought process as to WHY this was your favorite class, ect.
Once I passed the phone test I was asked to take two different personality tests before I came to the office for an in person interview (took about a week to set up). Once on site you first have a group interview with all of the other candidates you are interviewing against. You will be given a list of topics that have nothing to do with finance and made to discuss/argue about them with each other (topics like abortion/steroid use in sports/illegal immigration). There are two interviewers that sit with you to moderate the conversation and then there are HR people in the back taking notes. The point is to see your thought process and how well you justify your arguments more than what your argument is. After this they will eliminate some candidates and the other ones will be taken in for a 1 on 1 interviews. You will then be asked to solve a question like "how many McDonalds are there in midtown manhattan" or "you own a deli and an order comes in for 100 blt's to be served at the same time, how would you go about it." Again, they do not care about the right answer, but about how you think about giving an answer. If you make it past that then you will have a different interviewer give you a more traditional 1 on 1 interview.
Advice: They are looking for people who naturally fit there, so do yourself a favor and be honest. If you are not they type of person that is meant to work there then its better that you find out at the interview and work somewhere else. You will NOT be able to fake it there and even if you get hired you will be discovered.