The latest issue of TV7 (the ITV Digital magazine in the UK) has an interview with Louis Theroux. He says he'd really like to do a show with Michael Jackson or Prince !
For those who don't know who he is, he spends a weekend with a celebrity (Jimmy Saville, Paul Daniels) or group of people (WWF wrestlers, Woman Body Builders, Neo-Nazis, Religious Cults), and asks them why they do what they do, and sometimes takes the piss a bit (!!), but always asks really good questions.