Tie between a trading firm and a bulge-bracket bank. The trading firm was two days onsite. The first day was a lot of tough programming questions and the second day was tele-conferencing with other offices including regulatory and trading questions. (They did fly me out first-class and put me up in an amazing king suite at the Trump with full kitchen and living room).

The bank's questions were just brutally difficult. From low-level C++ and Java internals to algorithmic ones where you are at best hoping for a good approximation. And one very good series of questions on modeling a game where the answer involved using a stochastic matrix or monte carlo simulations.