Many years ago, when I applied to 'Andersen Consulting' as it was then called, they actually had a box on their application form which asked something along the lines of "Have you ever applied to and been rejected by Arthur Andersen?" I had been, so left it blank. Got an interview with AC, and some crazy female powerexec with shoulder pads and big jewellery just couldn't let the issue drop. I was honest in my reply, but she seemed more damn interested in why AA rejected me than what I could offer AC. I can understand her wanting to find out a little more, but spending 50% of the 1.5 hour interview on that point alone?? Pah... talk about labouring the point.
That sucked bigtime. Get dinged by one firm, and according to the Andersen family mentality, that's your chances gone for good.
I'd love to know how long they hold onto details of rejections and whether they still actually check them.