I am currently waiting to hear if I made it past the first interview into the second interview for the Hertz. I interviewed with a local Ph.D. who was a Hertz fellow and had a background in solid state physics (my declared interest was plasma physics, but he knew a fair amount about it). My interview was supposed to last an hour, but we ended up talking for about 2 and a half hours about fusion, fission, his work in energy research, etc etc. I felt pretty good leaving the interview, though I did get hung up on a couple plasma-physics-related questions and had to be given subtle hints to tease out the answers. For anyone else also in the Hertz process, I've been told the results for the first-round interviews will be released toward the beginning of February. All I know is that with the exception of a week-long course at Princeton preceding my summer research project at the Plasma Science and Fusion Center at MIT this last summer, I haven't had the opportunity to study plasma physics much at all, and I'll need to hammer on theory to prepare for the second interview, which I've heard is much more specialized and technical.
As far as the outside fellowships go, the NSF awards ~1000 fellowships(throughout all of the sciences, not just physics), the NDSEG gives out about 200, and the Hertz a miniscule 15 or so. Hertz is considered the grand-daddy of all fellowships (with an uncommon 5-year tenure and a total value of a little over 300,000), and even if you're a bomb-ass student, you would be setting yourself up for a lot of disappointment if you allow yourself to form any expectations about the award other than the expectation that you will give your best effort and hope the foundation leans in your favor. NDSEG and NSF are "less competitive" and "less prestigious," *only* awarding 3 years of support, but bear in mind that these fellowships, similar to the Hertz, are directed at students from many scientific backgrounds, not just physics, and often physics students win a very small fraction of the total awards (for NDSEG only about 6% of physics applicants get the award, representing about 8% of the total award field)...so these are still VERY competitive fellowships and carry both prestige and freedom to pursue more avenues to conduct research with mentors who normally might not have the support to fund an additional grad student. My friend put it best when he said "RA's work *for* the professors, fellows work *with* the professors." I'm not sure about homeland security (I didn't apply), but I believe they'd be on par with the DoD (which sponsors the NDSEG fellowship) in terms of competitiveness and award distributions.