I went through a whirlwind process with FactSet. Within a week, I had done the tests, three interviews, another interview and presentation, and lunch with consultants. I didn't get the position, and I think I had what it takes to get it, but they just chose someone else over me who was better suited. But this helps me know what they're looking for. FactSet isn't a massive global company, and the consultants work in small, close-knit teams. If you're successful past the testing stage (Excel, Maths and Finance), then they are already pretty sure that you have the technical and problem solving skills needed to be a consultant. Along with the 4-5 weeks training they provide at the start of your career with them, you'll be set. Many of the employees I met didn't even have degree's in finance, and so it's not absolutely necessary you're a finance whiz.
The thing they're looking for in the interviews are your communication skills, your personality and ability to get along well with people. Because consultants are constantly meeting with clients you need to be someone who is likeable, easy to get along with and can hold a conversation. The more natural you are at this, the more likely they'll pick you. They're also looking for people who will fit well with their office since they're small and work closely together. Good work relationships means better productivity for them, and it's just generally a nicer environment to work in.
Overall, I had 4 interviews, one with the consulting manager, and three with sales executives. They were pretty casual, chatting type interviews where they just want to get to know you and your personality. The most important thing is to be yourself, be confident. Do not lie to them, or have pre-prepared 'stock answers' because they'll be able to see right through you - they deal with people every day. Don't be anxious or nervous, because if you get the job, you will be dealing with people every day and will be expected to be confident as you do your job representing FactSet. Make sure that when they give you the opportunity to ask questions, that you do ask questions. Ask them about the job and what you might be doing. Ask about what they do. Ask about how they got into the position they are in now. Find out stuff about them personally. What did they study? What is challenging for them about their position? What do they like doing on the weekends in their spare time? These questions are important because it shows you are able to start and hold conversation with people.
In summary, just be yourself. If you've got what it takes, they will see it in you. If you're not being yourself, they will see that too and it will work against you. They want the real you, because that's what their clients will want to see as well.