I interviewed with McKinsey about 4 years ago in their London office... I don't know if my experience was typical, but they were a bit different than the other consulancies in that we actually had to sit down for 1/2 hour and write a GMAT style of test on top of the typical "case" questions.

The test itself wasn't too taxing, but I think the cheeky buggers puposefully put us in a room that faced into Picadilly circus to see if we could concentrate while bagpipes were blaring below us !!

Seriously though; take a moment to think things through before you start to speak. You'll be encouraged to voice what you are thinking (think who wants to be a millionaire); so pay attention to your interviewer -- a good one will re-direct you if they think you are going off on a tangent.

And Good luck ! ^