I applied through a recruiter. The process took 5 days. I interviewed at Bloomberg (New York, NY) in Jul 2010
Interview
Interview consisted of a telephonic first round, then was flown in for in person technical rounds. Fairly run of the mill interview process. Be prepared to write code on pen and paper though for fairly straighforward problems.
Interview focused on problem solving, basic algorithms and data structures. Then a bunch of questions on c++/c#.