I also have another good link that has info on these jobs. It's
vault.com
You probably have heard of it but if you haven't it gives you a simple understanding of the firms and the work. The people on the vault message board are usually undergrads who are still competing for jobs so they're a bit cut throat.
Also just to stay sharp for any interview or just for the sake of being sharp on a daily basis, I'd recommend seriously thinking about every problematic situation in your life and coming up with some sort of methodology on how you would approach it now to solve the problem. With banking, you have to be confident. At the same time you have to realize you are nothing coming in and need to support those higher than you because you're only an analyst right now. I think a good part of what makes bankers confident is their ability to see a problem and not shying away from it but diving in.
For trading do math in your head. Go to the bathroom and do long division. I'm not kidding - it works and you can be confident with being under pressure when you have a few seconds to do those silly things in an interview.
For consulting, do the problem solving but be more creative with it. One of the old questions that nobody asks anymore is why manholes are round. So come up with creative answers and try to involve math in there somehow. Try to estimate how many people in the US have cable TV.
Edited to add a couple things for banking:
Generally what an investment bank does is generate large amounts of money for a client (because no commercial bank gives out billion dollar loans), take a company public and releasing IPOs, or helping companies merge (M&A). Those are the three product groups we concentrate on. When you raise capital you do it by creating bonds for a client to ensure the maximum benefit to them. I don't think M&A was a big business generator for banks until the likes of Bruce Wasserstein stepped up to bat.
The 80's were filled with incredibly innovative M&A deals...some of it just pure brutality with firms hiring private investigators to weaken the leadership of a company before helping their client in a bid for a hostile takeover. I guess that's what inspired movies like "wall street" (coincidentally one of the saddest movies ever). M&A for the last couple years has been down. The banks cut their M&A staff heavily because of that. Lately though M&A is picking up and banks are hiring larger analyst classes (good news for any of you undergrads).
And for banking and consulting you have to be able to present well and sell like none other. You're sitting with a top guy at a company, why the hell should he follow through with your recommendations? You have to show him your bank has incredible spreads that can help them. You have to talk about the talent on your team and what you can do. You're not some slow kid who graduated with a marketing degree and is wondering when he'll be able to use the term "brand management" ever. You are the MAN/WOMAN!!! Act like it.
Below are some simple news links on Reuters that are free where you can see just a glimpse of what's going on:
IPO News
News on Raising Capital through bonds
Mergers & Acquisitions News
-Rudey