Just finished up the Penn Jillette interview. Very entertaining. Loved the Al Goldstein story.
I've seen Penn & Teller four times over the last twenty years and every time has been totally different and well worth it. Also, they sign autographs after every show and are unfailingly polite and gracious.
Penn also had his own radio show a few years back. It was generally a bit iffy (you're either a talk radio host, or your not), but his interviews with Trey Parker and Matt Stone, as well as the Mythbusters guys, were very entertaining. Apparently, all Libertarian Atheists hang out all the time and are generally great interviews.