Everyone's experience is different, but as elle said, I went for a Fiancee Visa through the NY Consulate in September of this year, so here's my 2-pence-worth:
First off, they didn't seem overly concerned with Phil's financial status - took the copies of his bank statements, but had no interest in his invoices and deposit slips showing payment of said invoices. He's self-employed, so we agonised over the proof we would show that he could support not only the two of us, but also my two boys! And they barely glanced at it!
I didn't have to do an interview. Phil wasn't able to come (for the entire, gut-wrenching store, look for the thread titled "For Those Who are Still Interested..."). I had his passport - however, I had been informed that a copy of every page of his passport, with each page notarised, was acceptable. I would, however, suggest taking his original passport. At the very least it means you know he can't leave change his mind and leave the country before you get over there after going through this ordeal!!!
I also wasn't asked for a CV. Difference between mine and elle's situations is that she was applying for a "Spouse" visa and I was applying for a "Fiancee" visa. Quite frankly, thought it might be a problem because I didn't have mine on me and couldn't have fashioned one in the time frame we had - but no one asked about it so it didn't matter. My feeling is, you can't work on the Fiancee Visa anyway, so what should your employability mean? They assume that every couple is a two-income household - yet they expect you to be able to be one-income from the time you enter on the Fiancee Visa until you get married and get your FLR back from Croydon!
The letter of support is a joke - but highly necessary!! And also proof of a place to live that is "appropriate." Again - seems to be a judgment call on the part of the Consular Official, because we were going to have to stay with Phil's parents until we found a place (5 adults and 2 kids in a 3-bedroom house!) and they seemed okay with the letter from his father. (Turned out that we were able to move into our own place the day after the boys and I returned from NY - but no way of knowing that when we applied.)
In addition to the letter of support from Phil, we also had his best friend - who had met and gotten together with me and my kids - write a letter to "substantiate" the relationship. They took it without comment - didn't hurt, I'm sure!
I took photos of us together and Phil's receipts from his flights to the US - they weren't interested. They did get a slight amusement from looking through the March 1985 issue of Smash Hits wherein his ad for a penpal that I answered was published...
All in all, it was an easy process - except for having to wait for paperwork from Gatwick - but that is a whole other thread!!!
Any other questions - feel free to PM me!