I handed in my resume at a career fair and I also submitted my resume to the Bloomberg website. A Bloomberg employee called me 3 or so weeks later to set up an on-campus interview the next day. There were two 1-hour interviews, each interview was 2-on-1. Questions were standard interview questions; there were some brain teasers as well.
Fast forward a month later, and I get an e-mail from HR asking to set up an on-site interview. The on-site interview is really nice. They pay for your hotel and plane/bus ticket and everything. On the day of the on-site interview, an upper-level software guy (manager?) interviewed me for an hour and asked some logical questions. These *aren't* your typical programming interview questions, you have to explain your thought process and talk your way through to the answer. I think I did pretty well in this part, the guy was really nice. 15 minutes later, I thought I would get another technical interview, but instead this was the behavioral interview by an HR rep, which caught me completely off-guard. The only question she asked was "Do you have any more questions?", which didn't make sense to me at the time because I had asked all my questions to the manager before. I could only muster a "Is this the last interview?" and "What's the next step in the interview process?" The whole interview probably took 5 minutes, after which the HR rep promptly led me to the elevator.
I got a rejection e-mail a week and a half later. I think it was the HR behavioral interview that did me in, because I feel like I finished the manager interview on a good note. In any case, I would recommend 1) dressing sharp, and 2) preparing to ask and answer some HR questions, even if you think it's stupid. In any case, I had a great experience going through the full interview circuit.