Jane Street might be the only place I've applied to cold in my life - I solved one of the puzzles on their site (I'm not sure how important that ended up being) and to my surprise they offered me an interview.

The technical interview was a decent bit harder than Google -- we got deeper into implementation instead of just toy problems. I remember filling the white-board walls of the room with code for a garbage collector. Even though the interviews ostensibly didn't require OCaml, knowing a (tiny, tiny) bit about OCaml garbage collection helped. Every interview was with two employees, which I hadn't seen elsewhere.

I got the offer, but ended up going elsewhere. In part, I was disappointed to find out that there was VBA involved in the role -- it was their taste in languages that appealed to me and VBA was at the opposite end of the spectrum from OCaml!

Weirdly, when I (politely) declined the offer, I never heard another peep from the company, even an acknowledgement or a "good luck". They just ghosted me. Not that they owed me a reply, it just stuck out as the process was very high-touch until that point.