First interview was a standard phone screen. Second interview was a call with direct manager where he asked me statistics questions based on what I had listed on my resume, things like 'explain this technique further' and 'walk me through this analysis'. On-site involved an interview with a data engineer where we discussed my familiarity with python, sql, R, etc and some questions like 'how would you store x type of data as a variable in python', plus another conversation with the manager about specifics of the job and how I would contribute to the team. Finally, interview with two current data scientists where I answered behavioral questions, wrote a simple SQL query, and asked questions. SQL seemed to be very important and they wanted to be sure I had some understanding.
The whole team is very very nice! They were laid back and welcoming throughout the whole process. I was struck by the kind of start-up feel to the company (there's cool perks, folks get involved with employee groups and etc). The people I met seemed to really enjoy their jobs and emphasized the flexibility of the schedule and funding for continuing education. Pay rate for entry level people is around $85k with around $10k annual bonus.