An excellent - though very challenging - process. All in all, I had five one-on-one interviews, each of which included a personal evaluation question and a case interview, and a McKinsey Problem Solving Test. The first two one-on-one interviews were with Engagement Managers and the last three with Partners.
Good preparation is key for both the PST and for the case interviews in particular. For the former, you will very likely have done similar tests at some point which will stand you in good stead: the PST is your classic, relatively simple test with far too little time to get it done. I would say it is tougher than any others I have done before in that the time really is tight, there is lots of different information to quickly interpret and most of the calculations need to be approximations to get to the right multiple choice answer rather than exact solutions (this last point takes some getting used to). Having said that, preparing is fairly easy as you just have to do practice questions wherever you can find them.
As for case interviews, they are truly hard and can go in lots of different directions, making them very difficult to prepare for. For me they were like nothing I have previously done, so I was very much behind the eight ball when I started. I spent a long time preparing, something I would suggest is unavoidable. If you do not know what is or could be coming, you are done for.
Finally, McKinsey was fantastic in its response times. At each stage, interviewers came back to me on the same day as the interviews. This is something every company should replicate.