The process took 2 weeks. I interviewed at Jane Street (New York, NY) in Feb 2011
Interview
The people seemed fun. There were a few guys who were a little awkward. But it was Jane Street. Also a problem was that their HR department was incredibly slow. It took them weeks to schedule the next round interview. And then they would forget to call. It was very unprofessional.
They seemed to only concentrate on Probability questions. A lot of expected value questions.
Interview questions [1]
Question 1
If you had only 5 and 11 cent stamps. Whats the smallest number that would be impossible to make with those stamps.
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.