(1) Online test - a blend of personality and GMAT questions, overall very difficult but nothing you can study for. I thought I bombed it, so don't fret! If you really want to prepare for the GMAT section, study some logic questions.
(2) You are given a case study in powerpoint format, and are asked to submit your resolution a week later
(3) HR Interview, immediately followed by a Business interview by two current employees - the Business interview was more difficult, as you had to present the case you submitted earlier. However, overall, the interview with BOTH HR and Business was amazing. Very, very nice and welcoming people - I felt at ease the entire time, and the conversation was very natural.
Tips: Show your personality and make them laugh! Be humble, funny, and confident - demonstrate you're a team player, leader, and willing to work hard but also have fun at the same time. Don't be too aggressive or off-putting; ask them how they're doing and try and establish a real relationship and rapport. Act as if they are a potential client you're going to work with.
Overall: Great experience. I've done a lot of interviews, but I knew Nielsen was the best fit for me long before I applied to other places.