I found Macy's at a job fair on my college campus. After I handed them my resume, they said I would get an email if I was invited to interview for the position. Before the initial interview, there were 2 information sessions that were basically mini group interviews. Definitely ask questions and make yourself known in those.
After that, I had a 1 on 1 interview with 3 different people on my college campus. The entire interview last about 2 hours. At the end, they give you a situational question and you have to read Macy's reports and come up with an answer based off your findings. It was very simple if you don't over think it.
I made it through that round of interviews and was flown to their regional headquarters for a 3 day group interview process. They put you up in a nice hotel and have daily activities and dinners that you are constantly being evaluated at. There are group interviews, 1 on 1's, projects and everything under the sun.
Once I got back from that trip I was notified in 3 days that I got the job.