Just yesterday while I was lamenting that Bill Maher forgot to interview Stephen Colbert (seen here with his wife and daughter at last month's Emmys), he was speaking (with his wife!) at the New Yorker Festival in Manhattan. He's known for giving few interviews and even fewer out of character and probably none with his wife, who puts up with it all, so this was a rare treat.
It appears it wasn't taped, but there are some great recaps.