The interview process, in my situation, was broken down into two stages. The first round consisted of an over-the-phone, case study interview, which was fairly straightforward and pleasant. The second round consisted of 3 separate interviews conducted in Richmond Virginia. I was given a behavioral interview first and then 2 separate case interviews.
The behavioral portion was very straight forward and relatively short. You're asked three questions about situations in your life where you had to do "x" or deal with "y." After you share your experiences, the interviewer will ask you a series off follow up questions where you'll have to elaborate.
The two cases, again in my experience, differed dramatically in difficulty, and candidates are given different cases along with different interviewers. The first case was fairly straight forward though I made a major error at the end--mistakenly assumed that the cost was fixed when it was actually variable.
The second case was much more difficult and the interviewer, who was clearly an extremely intelligent individual, was not very accommodative. My theory is that if your first case is shaky, then they give you a more difficult follow up case as an opportunity to redeem yourself.
All in all, Capital One was very professional throughout the whole process. They provide you with the transportation, put you up in a very nice hotel and allow you to spend $100 of their money during the trip. They also give you a free, all you can eat lunch after the interview.