I applied online, got contacted by a recruiter, followed by a data mining assignment. As another candidate mentioned, solution would be evaluated by member(s) of the team. A phone chat with the team director before onsite interview was scheduled.
I won't include details of the interview questions because of the non-disclosure agreement. All I can say is if you are able to pass the assignment, and have confidence in your statistics, cs skills, you shouldn't worry. Interview loop with 5 people all stacked together, they should consider a 15 min break or something on the schedule.
HQ office is wonderful -- harbor view, pike place market at the corner... If you travel to Seattle from elsewhere, definitely take advantage of it.
In the end, Zillow just passed its start-up phase and is still pretty selective of people it brings onboard to its data science team. Their research page lists the backgrounds of all DS team members, pretty impressive. Overall, I consider it a good experience though I didn't get the job.