They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
I applied online. The process took 3 weeks. I interviewed at Jane Street in Dec 2013
Interview
Applied online, received phone interview within 2 weeks. First round was mental math (37 squared, 4% of 97, etc) as well as some probability/expected value problems. They also ask you how confident you are about answering 4/4 questions right, 3/4 questions right, 2/4 questions right, etc. Received a second round with even more probability, but much harder.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.