I thought I'd add my timeline of applying for my first UK passport from abroad, in case anyone else is going to be doing it soon...
Applied by post from Canada: Thu 8 Mar 2012
Arrived at embassy in DC: approx. Tue 13 Mar 2012
Fee taken from CC: Thu 22 Mar 2012 (probably taken earlier, but appeared on statement on this date)
DHL tracking information received via email: Thu 12 Apr (package picked-up in DC by DHL on night of Wed 11 Apr)
Picked-up packages from DHL depot: Fri 13 Apr
DHL rep called to ensure I received parcel: Mon 16 Apr
It was a fairly quick process, and no interview was required. I received a package from the embassy in DC containing my documents, and one from the UK containing my passport, both delivered at the same time. I'm not sure how other DHL depots handle it, but the one here didn't attempt to deliver my parcel; they left a notice on my door and said it was a final attempt to deliver, although it was the first delivery. When I got to the depot, the woman told me that because the packages were such high priority and contained documents, they didn't deliver it, and just held it at the depot for me. Not an issue, as I have a car, but for someone without a car, that may have been an issue. I did appreciate that the packages weren't left at my door, and were instead held for me. They even called me yesterday to make sure I received the packages.