SIG initially had a phone screening where they asked simple mathematical and theoretical coding questions regarding Java/C++. I thought it was quite easy if you knew your basics.
Then, they called me on site for an interview in their Bala Cynwyd office right outside Philadelphia. They are really hospitable: they put me up at the Palomar in central Philadelphia and they took the Assistant Trader/Software interns to dinner at a really fancy restaurant. The next day, they arranged for transport in the late morning from Philadelphia to their Bala Cynwyd office. The interview started abruptly with 2 back to back hour long interviews, one based on technical questions regarding my software knowledge and the second based on my previous experiences, some standard behavioral questions (Why SIG? Why not *insert company name here*? How can you contribute to SIG? Why do you do what you do?).
After the stressful bit, it's pretty relaxing. They take you around their office, the lounges, the poker tables, the trading floor, and the dining hall. You get briefed about the details of the Summer Internship while having lunch and the whole process is pretty casual. After that you get a chance to do a desk rotation where you spend half an hour at an employee's desk, observing their work and to ask any other questions you might have about the company, the job and the person's job and their experience. Again, it was really relaxed and it really let me open up, so I really enjoyed it. After that, we met some other employee group (the name of which I can't remember) and then had a final briefing by HR and were sent home.
All in all, the interview process with smooth and SIG does a good job of making life as easy for the interviewee as possible. I felt really comfortable after the initial jitters and really enjoyed the feel of the company and the attitude of their employees.