First of all, as Malc4d said, be very careful about committing to this course of action if you do not have the right to work in the US. Whatever you may have heard about a pilot 'shortage' here, it hasn't caused any of the regional employers to start sponsoring visas. Second, having dealt with several disgruntled former Delta Flight Academy students, I would humbly suggest you avoid that place like the plague. I have yet to hear anything good about them. Flight Safety is probably the biggest player in the US training arena, and my current airline outsources most of their training to them.
My biggest piece of advice is not to get sucked in by the highest-priced operations out there with promises of glass cockpits and 'guaranteed' job offers. I did every bit of my initial flight training at the cheapest FBO I could find and flew the old steam gauges until I got my second airline job. I'm richer for the experience in more ways than one. Glass just isn't as scary as people make it out to be, so there's no need to pay a ton of extra cash for a brand new Diamond Star from day one unless you've just got more cash than you know what to do with.
In answer to your question about the exams - the federally mandated written exams are a joke. Go over the test bank a bit in your off time and you'll be fine. The ab initio programs you're looking at will no doubt have their own stage check exams, but they're not in place to weed anyone out. A checkride is a checkride, however, and you'll need one for your private, instrument, commercial, ME, CFI, CFI-I, MEI and (eventually) ATP.