The BBC has a huge catalogue of interviews conducted for radio and television down the decades. I've been poking around in the archived items and so far haven't found any major revelations for fans of supernatural fiction. But there are a lot of interviews with authors whose work will be known to fans of the weird, the Gothic, and the fantastic. Here are a few links, but there are many more to be stumbled upon, I'm sure.
Daphne du Maurier (1971) takes you on a tour of her Cornish home.
T.H. White (1959) discusses Arthurian legends and folk tradition.
J.R.R. Tolkien (1968) talks about his life in Oxford and his immensely successful books.
Philip Pullman (2001) is also interviewed in Oxford about his immensely successful etc.
Elizabeth Bowen discusses the importance of character in fiction (1956).