Applied online and also had an employee referral (which the company seems to take very seriously). 1-2 weeks later had a 30 minute phone interview with an HR rep, largely consisting of questions regarding resume, past experience, and why I was interested in the company and in finance. Interviewer told me she would pass my application on to the managers in the Office I was looking to work in.
Within 1 week, scheduled an in-office interview date. This consisted of 4 1 on 1 interviews. There were several other applicants there, and the interviewers rotated between the candidates. Interviewers were managers and upper level employees. All of the interviews consisted of similar questions- very conversational format. Why Factset, why finance, why did you choose your college and your major(s), what is your understanding of Factset's business and the role of the consultant etc. Be prepared to ask intelligent questions of the interviewers- it is as much about you being prepared and wanting to learn about the company as it is them wanting to hear about your experience.
After interviewing, applicants sat in on client phone calls with current Consultants for 15-20 minutes. After experiencing some of what the position entails, the group of applicants goes out to lunch with a few current FactSet employees. This part is not really relevant to the interview process, but more of a chance to meet some employees and ask any questions of them that might not have been asked/answered throughout the day.