Weeding out a candidate's genuine qualifications, talent, and attitude solely in a phone screening or one-hour interview is tough. On the other hand, spend an entire day with a candidate, interviewed by most members of the team, and then an employer has a much better shot at making the right hire, altogether applicants walk away with better knowledge of the company, which suits for making an informed decision.
Typical all day interviews are spent, meeting most, if not all of the team you could potentially be working with. Getting lunch, and maybe talking about your past work or portfolio a lot. If this is a skilled job, the employer might want to see you in action a little and see what you can do.
How do you succeed at an all day interview? Relax. Your attitude and engagement during the interview process is critical. Don't show too much enthusiasm, but rather remain positive and show interest in the persons interviewing you. Look directly at their eyes and remain confident as you deliver your responses. Ask direct questions. After all, you're interviewing the company and its management as much as they're interviewing you.