I did an online math/verbal GMAT-like test first, before going through 2 rounds of interviews. The first round was a case and a behavioural, an hour each, and another test to confirm that I was the one that did the online test at home. The second round was again a case and a behavioural, with more senior people, and a job fit interview, which is an informal chat.
The interview experience with Capital One has been one of my best (and I've interviewed a lot lately). The recruiters were very professional, enthusiastic, and helpful. They called a day or two before each of my interviews, just to make sure I'm all set and see if I had any last minute questions. They also made a point of telling me EXACTLY what my interviews will be like - ie, the order of each interview, and the interviewers' names and titles. My interviewers were also very friendly and easy going.
In each of the cases, I had to rely on the interviewers' hints and guidance to get to my solution - that is to say, they weren't too easy. But, having been in many consulting interviews, Capital One's cases were definitely easier for me to deal with. There were no tricks or curveballs, or having me chase after nothing.
Advice: go through all interview reviews on this site, they've been very helpful to me.