I applied online. The process took 3 weeks. I interviewed at McKinsey & Company in Sep 2011
Interview
First the PST. I don't think is that different from the examples you get. The biggest issue is related with time, although you can do it right if you follow what they advise you and practice enough in advance.
The interviews were the same: exactly what you read everywhere - can't add further advise.
My biggest flaw: Anxiety. The cases were not that though but i was not organized enough. E.g. i assumed the cost were linear instead of asking - and they weren't.
The interview is structured exactly as the preparation materials describe, i.e. personal fit and case. All interviewers were friendly and supportive. After each interview round I received helpful feedback. The cases are not easy but fair.
Interview questions [1]
Question 1
Questions regarding the case. Interviewer will led the case though
First, there is a computer test screening. Then, you get invited for the first round interview, usually conducted by an AP. Then, for second round, you have two interviews with Partners. You get feedback quickly, less than a week between interview and feedback
3 stage interview with increasing seniority. Opportunity to prepare with current colleagues prior to interview which was useful. Straight forwards process, no big suprises if you prepare in advance but prep is needed