It depends on the individual. Everyone have certain strengths and weaknesses. You need to find out what those are and work on them. The best way to do that is take part in mock interviews/written testing/ and of course, the physical agility.
Every department is looking for a well rounded individual, not just a knuckle drager or a book worm. Today's fire service is to complex and to demanding for a single faceted person.
Take tests from different departments, ask others what they had to do to persevere, study hard, and get in the best shape you can!
I would have to say the hardest part of the testing process for me is trying to gain experience equal to that of the competition. In California it is hard to find entry level jobs in any sector let alone the fire service. Being that every department I for which I have tested lists experience as the top desired qualification or trait, it is killing me. I have been getting better at the written tests and I have been tuning up my oral skills. I guess it is all equally difficult right now.
One suggestion I have is to contact a local Jr. College and see if they have a fire degree and fire academy program. This could get your some practical knowledge that you can bring to the table as well as showing your desire to invest in your career.