This question took me by surprise as I'd never been asked that before, and I was not happy that they asked it because even though I did have interviews with a couple of other companies, I felt it was none of their business to know, and felt it would count against me in the long run in the tone it was presented to me in. It was asked in both the first and second interview, both times rather abruptly. I was honest in telling them I had been interviewing and what kinds of positions (both marketing positions with non-competitors).