Had a phone case interview (no behavioral), then was called in for 2nd rounds at the Richmond, Va. office. Second rounds take up pretty much your entire day, with 3 interviews -- 2 cases and 1 behavioral. Unlike cases from consulting firms, Capital One's cases are much less ambiguous and usually have a "correct" answer. They're usually a combination of strategy and math, much like the cases given by top consulting firms, but the recommendation doesn't play a large role since the numbers usually make it pretty obvious which direction you need to take. The behavioral questions are the standard types of questions you would expect from most places (e.g. "Talk about a challenge you faced," "What is your proudest achievement?")
Many people at the company told me that you need to do two things to get an offer: do well in the cases (i.e. get to the mathematically correct answer, you won't get the offer if you fail this bit) and fit well with the culture. The company is very big on cultural fit for its new hires, so if they don't think you're going to contribute positively, this may also keep you from getting the offer even if you do well in the actual interviews.
During my interviews, 2 people out of ~10-15 were told to stay for an additional interview after lunch. We were told that this is only to gather additional information on you and ask questions that they didn't otherwise have a chance to ask or find out more about, but it felt like the only ones told to stay were the ones who did well and were likely to receive an offer (this is largely speculation, but I've heard this from other people that got offers as well).
The recruiters, the other BA candidates, and generally everyone we met were very friendly, unpretentious (compared to some other consulting firms that compete for the same talent) and on top of their stuff, and the company seems to be headed in a really good direction (the motto "Changing banking for good" is genuinely believed in by most associates), which is why I accepted the offer.