A day is nothing for someone looking to leave a current position. Take a day off of work, what's the problem? Seriously. You're leaving anyway.
And then it's not like you can't just walk out on the interview at any time (say after the 2nd silly whiteboarding session) if you feel they are wasting your time.
The most important part of interviewing is the candidate's evaluation of the company. More time spent, and more people to talk to, is a fine tradeoff for a day of your time.
As a candidate, I don't really care what the company thinks they are getting out of a full day interview. I want this for my own reasons.