I applied online as an APD. The first round consisted of a multiple choice test and 2 practice cases the were carried out in groups of 4. The test was moderately difficult and heavily focused on math. It is my understanding that they design the test such that most applicants will have to rush to finish. The practice cases were pretty informal but VERY helpful for later rounds. I don't really know, but I am assuming that they are looking to see if anyone is an automatic 'no' (ie. really poor people skills or hygiene) during the practice cases. I was assigned a "McKinsey Buddy" after the first round, and she turned out to be one of my interviewers on the practice case. She gave me a lot of honest feedback that I think really helped me in Round 2.
The second round consisted of 3 1-hour interviews, which were a mix of personal experience and case questions. I consider myself a highly analytical person, so I did not find the math in the cases to be too difficult. I did have to work harder at structuring my cases and thinking creatively. Also, one of my interviews was conducted via teleconference, which was not as awkward as it sounds. Less than a week after Round 2, one of my interviewers called me to tell me I had passed to Round 3. Again, she gave me a lot of honest feedback that I hope will help me in Round 3. I appreciated that McKinsey respects its applicants enough at this stage that they call everyone to tell them whether they would be moving on or not and to give them tips for improving in the future.
I have not scheduled my final round of interviews yet.