I met with Palantir recruiters at the career fair at my school and dropped off my resume. I was contacted a couple weeks later about setting up a phone interview. The phone interview was followed by an on-site interview.
The on-site interview was definitely crazy. They told me to come in around 10 and I was told I would have 3-4 interviews. My first interview was mostly behavioral. The two after had a lot of brain teasers and technical questions regarding related concepts to their product. Definitely know their product well and the technical concepts behind it, even if you are not an engineer. I was not a coder, but knowing basic things about databases, SQL, object oriented programming etc. definitely helped.
After the morning interviews and lunch, all the candidates were taken to a room to watch a demo of the product. Afterwards, I was told I'd have a couple more interviews. After 2 more interviews that afternoon, I met with the head recruiter again who told me I'd be meeting with one of the founders. I met one of the founders in the founders lounge, where a couple of the other candidates I had seen during the day were also waiting. I am assuming everyone else was sent home, but not sure.
I went home after. They were really quick to get back to me with an offer (within 48 hours). The recruiter called my phone and let me know. They sent me a official offer letter the next day.
All in all, it was a challenging but great experience to interview with them! It is definitely one of the hardest interviews I have ever done. But be honest about what you know. I didn't get all the answers right, but I was honest when I did not know something. Be yourself. Go armed with questions because you will be speaking to a lot of people and they will all ask you "What questions do you have for me?".