You'll be asked to do a quick pre-interview when you drop off your application. Be dressed reasonably nicely (nice jeans and a clean, nice looking shirt would suffice). A manager will pull you aside and ask questions (try to remember their name, you'll want it later). They'll ask what you're doing now, what department you're interested in working (varies store to store, but generally softlines = clothes, midlines = general sporting goods [basketball hoops, snowboards, sometimes golf equipment, etc], hardlines = guns for sales positions). They'll ask what hours you can work, and if you can't work weekends don't even bother applying.
If you pass through that, you can expect a call within about a week to set up an interview. If they don't call you within about 10 days, call the store and ask to speak with a manager (preferrably the one you spoke to initially) and ask about setting up an interview. After that, you'll have anywhere from 2 to 4 interviews.
The first will be some general testing (math skills, reading and comprehension, a drug test). If they're happy with you after that, you'll go to a second interview with a manager who will just try to get to know you. Its fairly casual, but be sure to dress nicely for these interviews (dress shirt and tie and khakis would be fine).
If you've made it this far, you'll be hearing back from a manager sometime soon who will want to schedule training.