Would going to any of these schools be a bad idea?

If you could get into HBS or Tuck, I would easily choose either over these three schools. That said, all three that you posted are top notch programs and are targets for most banks.

I went to a Haas presentation, I know BBs recruit there, but it was clear that the emphasis of the program is on technology/entrepreneurialism.  You might look to nearby Stanford, which is in Palo Alto, a quiet town between San Jose and San Francisco.  I don't know too much about Yale or Fuqua, but some others you might look into are UVA (Darden) and Northwestern (Kellog).  Tuck would be my choice though, if I didn't want to live in a city.

Stanford has a 9% acceptance rate. Plus I hate heat. Grew up and work in the Middle East.

I've heard Darden's a good school, but it's always mentioned as an afterthought, almost.

Kellogg's a cool pick, but again, great marketing reputation rather than banking (similar to Haas' focus on tech/entrepreneurialism).

Do you think the fact that fewer Haas students want finance jobs would actually increase a student's chances of getting one? Or is it just that they aren't offered the jobs to start with?

P.S. When I mentioned Cambridge, I was thinking more along the lines of Sloan. I don't think I'm exceptional enough to get into HBS. How competitive are Sloan admissions?

Kellog is indeed known for marketing, but they also place roughly 10% of their class in IB each year.  I went to one of their presentations and was pleasantly surprised that they seemed to have a decent finance program.

Yes, that is a possibility with Haas, I'm not sure though.  The two things you should look at are their employment profile (how many do they place in IB each year) and their course listing in finance (do they have a wide variety of relevant electives, or just a bare minimum?)

The heat in Palo Alto is a lot better than in the middle east.  I can't argue with the 9% though.  I honestly don't know that much about Darden, I guess it's an afterthought for me too!

I went to a presentation for Sloan too, not sure about the selectivity, but it is a strong program.  Fit didn't quite seem right for me, but I know a lot of people love it.  I know this will sound elitist, but I don't know how else to describe it - it really seemed like a school for nerds.  Not in the sense of smart people who work hard (that is all top-tier programs), more in the sense of socially awkward people with poor hygiene.  Do your research and judge for yourself though, I only went to one presentation with a handful of alumni.

Just to give you an idea of where I'm coming from, I'm currently applying to "city schools" (HBS/Wharton/CBS/NYU/Boston College/Georgetown) to get into IB.  I'd actually throw my last two, Georgetown and BC into your consideration, as they are both outside of major cities in the suburbs.  They are on the lower ranked side, but as far as I can tell they are both very rigorous, quantitative programs and some (though not all) BBs recruit at each.  You can also leverage their extensive alumni networks (including undergrad alums) to look for jobs.  Though they are not my top choices, I honestly think I'd be happy at either one.  Plus their acceptance rates are both about 40%.

One other thing to keep in mind, especially when "aiming high," is that if you don't get in this year you can always reapply next year.  I've been a little surprised by how much this is encouraged, basically the schools seem to look at anything you do in between applications as a positive and you will have a better chance than your first time around.

Are you applying this year?

No, planning on applying for entry in the 2010 class. Just anal enough to plan this early.

I wonder what I could do besides distinguish myself at work that would be viewed favourably?

Good to plan early, I wish I had.  The biggest thing that you can add between now and then are extracurriculars.  Community Service is a big one, even better if you can show leadership while doing it (organize a food drive, etc.).  Beyond that, do whatever interests you, but make sure you are doing something (other than just hanging out on the internet or watching tv after work).  Play in a local sports league, join toastmasters, play an instrument, train for a marathon, start your own website, etc.  It is better if it is an organized thing with other people, but even just a hobby you do on your own can be good.  

If possible, i would also take the time to visit each of the schools, attend classes, see the campus, and meet the students.  This is something i couldn't do (not enough time/too short on vacation days at work) and really wish I had.  Take detailed notes to refer back to for your essays (for the "why school x?") question.  Actually, while you are thinking about it, go check out the essay questions for each of the schools you are interested in, and think about how you would like to answer them and what gaps you need to fill in.  blog.clearadmit.com has the essays for most schools in one place.

You realize that entry for the class of 2010 applications r1/r2 are all due already... unless you meant that you're applying for the class of 2012. Sloan has a ton of quant-inclined Asians who just make the finance classes impossibly difficult. Whoever told you that Chicago kids aren't geeks clearly lied to you. If you go to Chicago, prepare to enter the place "where fun goes to die".