First round consisted of two phone interviews, both with associates. These were essentially all case (I'll get to them later). Each interview took about 30 minutes
Second round consisted of four in office interviews, two with principals, one with an engagement manager, and one with an associate. These consisted of about 25 minutes of a case, 15-20 minutes of an experience interview, and 5 minutes for your questions. The experience interviews are unique to McKinsey. Basically the interview will ask you to "tell about a time..." and then after you tell a story they'll ask probing questions. The prompt will fall into one of the following categories: problem solving, achieving, personal impact, and leadership (details/descriptions can be found on the McKinsey web site). To prepare for these you should have at least one story for each category. Don't memorize but run through it in your head once or twice and make sure you remember all pertinent details (you'll need to be able to talk about it for 10+ minutes). I also ended up taking the McKinsey Problem Solving Test in the office after the interviews (this seems to be reverse order, not sure why it happened that way other than McKinsey doesn't officially recruit at my school). The language filter will not let me say what I want to say about that test, but the impression I got was that they didn't think it was worth much anyway. I would agree with this notion since it was essentially a test of your accuracy at performing complex math (complex as in lots of decimal places, sometimes with division) without a calculator. It was pretty similar to the practice test that's available on their web site, but a little more difficult.
The McKinsey cases are very structured so the interviewer does the driving. This takes a lot of the weight off your shoulders versus some of the other firms, but you still have to be able to perform and explain math efficiently and effectively as well as come up with innovative ideas. The feedback I was given was that I wasn't quite creative enough, which seems reasonable. Definitely practice, but nothing to get worked up about. I would not recommend doing 20+ cases as some have suggested because that will just stress you out more.
The people I interviewed with were all quite friendly, but I did not particularly care for the analysts/associates who took me out to lunch. I actually think it's a blessing in disguise that I wasn't offered. I had an odd timing situation so I probably would have accepted if offered, but, since I wasn't, I ended up interviewing at a firm of similar prestige that fit me much better and accepted there. The office was fairly nice but was completely dead (even on a Friday).
My main words of wisdom from this experience (well worth it btw) is to not try to cram in these interviews. I ended up taking a later flight so as to not miss a class on Thursday which resulted in me having to connect. In the end I didn't make it to the hotel until after 11pm while if I had been willing to miss one, unimportant class I would have been there 5-6 hours earlier. I blame my lackluster performance during the case interviews on the resulting lack of sleep (always trying to pass the buck).