Each and every job interview you will ever sit thru will consist of standard questions about your background, talents, career objectives, and so forth. But the interviewer will also wish to get a sense of how you would actually handle your self if you get the job. For some fields, like advertising or corporate communications or webpage design, samples of your previous work are considered reliable indicators of what your future work will be like. But in an area like management consulting, problem solving on your feet is the skill your interviewer will be especially interested in. Accounts of your previous successes are no substitute for actually seeing you in action. That is where the case interview comes in.
In a case interview, the interviewer will present you with a "case" that presents an issue very much like the ones you'll face if you get hired for the position. It may even be a challenge that the interviewer herself actually faced on the job. On the spot, you'll be asked to evaluate the issue, develop an answer, and communicate that solution to the interviewer in way that clearly demonstrates your grasp of the business issues that the case presents and the most efficient ways to address them. Along the way, you will display your gifts for fundamental mathematical calculations, brainstorming, logic and other fundamental consulting skills.
No job interview is really "fun," obviously. The more you would like the position, the more there is at stake, and also the much more nervous you're sure to be. But a case interview is really more like an actor's audition than the traditional job interview, and if you can "get into the role" the way an actor does, your creative juices will flow and the recruiter will get a great sense of what you are able to accomplish in the event you turn out to be a part of the company.
So, yes, the questions you will be asked to answer in a case interview are much more difficult than those dull questions you have been asked in a lot of interchangeable interviews in the past ("Where do you see yourself in five years?" "What are some of your weaknesses?") But in the event you know you've what it takes for the job you're seeking (and in the event you do not, you've no business applying for it), than you also have what it takes to shine in the case interview that will get you that job. Think of a case interview not as a hurdle to surmount but as an chance to exploit - and it will be.