Applied online. Got an email about 1.5 months after to setup a phone interview with a Project Manager. Had a great phone call, it lasted about 1 hour. The interview basically tested my background and gave me a brief overview of the firm's goals and new business initiatives.
About a week later I was invited to interview at their Chicago headquarters. This interview consisted of a morning group information session, followed by 3 1-on-1 interviews with managers, and finally lunch with a senior consultant and two other interviewees at a nice restaurant. The interviews were pretty laid back. It was clear that they were concerned about background, experience, other firms I was considering, and what I knew about the firm's management consulting group.