Prior PhD and MS exams are here; we try to keep the content and difficulty roughly even across the years, so these should give you a good idea of what to expect.
Recommended reading for the exams includes the Cormen algorithms text, and the Garey & Johnson complexity text would be good to look at as well. Some questions are designed to check that you're familiar with the basic algorithms and data structures (for example, if a question is obviously an application of something like Dijkstra's algorithm, say so). Other questions may be more open-ended, and sometimes we put unsolved research problems into the mix, to see if you can think creatively and have reasonable plans for approaching things.
The exams are closed book and closed notes.
MSCS Exams (There are "pre-1998" questions on some of the early MSCS exams, to reflect a change in course material -- depending on when students took the algorithms course, there were slight differences in questions on the exams).