I applied online, and found out a few weeks later that I was selected for an interview.
First Round:
Two 30-minute phone interviews, both conducted by alumni of my school. One behavioral interview, and one case interview. They really weren't that difficult, but by this point I had done 8+ interviews with consulting firms and was really in my groove. Case was interviewee-led.
Final Round:
One 60-minute in-person presentation/interview. First, you are given a prompt and a few slides and have 30 minutes to prepare a presentation, then 2-3 consultants/partners from Oliver Wyman come in and listen to your presentation (in the instructions, it says your presentation should be 10-15 minutes, but I don't even think mine lasted 10, and I still got the offer). You are also given a whiteboard and encouraged to use it for your presentation. I would really recommend doing this, and having most of your stuff already written out before your interviewers come in, but leave some things (like maybe key numbers) blank to fill in as you are giving your presentation. Use color to organize things! As always with presentations, make sure you have a story that logically connects everything you did/thought about/wrote on the whiteboard. I would recommend that you remain standing for the presentation, and also for the questions they ask you after you're done with your initial presentation. I only sat down once it was my turn to ask questions about Oliver Wyman.
In general, the cases weren't that hard and were not super data driven. They want you to make reasonable assumptions and just run with what you're given. Definitely have a plan for what you would have liked to do, if given more time, or what other information you would have found valuable too.