I managed to get an interview with McKinsey through an alumni. I was very fortunate since McKinsey does not recruit at my school. However, since I did not want to pursue a career in consulting, I never practiced how to interview for a consulting role (ie. case study interviews). I ended up having to cram this knowledge in a week for my phone case interview and a week for my on-site interview.
Process started with a call with the recruiter. Everything was very courteous, professional and on a timely manner. After my call with the recruiter, I was set up for a practice phone case interview with a former associate from McKinsey. There I was able to mess up and received feedback on how to improve, Then I had my real phone case interview a few days later. It was pretty straight forward (read up on McKinsey's interview format, since it's a bit different than other firms). I passed that and was invited to go to Chicago for two case interviews and two behavioral interviews.
I flew to Chicago, where McKinsey put my in a nice hotel right by the office. They also had me set up a credit card so I can charge food and taxi rides on, which was pretty cool. Next day was my interviews, which again was the same format. 30 minutes behavior interview and 30 minute case interview with one interviewer. Then the same for the second interviewer. I messed up on the quant for my second interviewer (see below.) After that, I had to do my Problem Solving Test (PST), which was brutal. As far as I know and heard, everyone struggles with the PST.
Unfortunately, I was not invited back for my final on-site interview (with the directors and partners). They were quick to provide feedback (mine recruiter actually was late by a few days, but still within a week). Feedback was that I had solid stories to tell on my behavior interviews but was weak on quant.
Still, due to their professionalism and quick response, I had a positive experience interviewing with McKinsey.