In the Village Voice's interview with Mr. Stephin Merritt, found here, he becomes downright chatty when talking about his habit of buying strange instruments. Of particular interest is his apparent ongoing but silent feud with one Trent Reznor.
Chapel Hill Weekly interviews Mr. Merritt here. The cockroach-related incident to which he makes a reference can be viewed here. The video shows scantly more than Mr. Merritt's seeming giddiness over the situation, but is delightful nonetheless.
Lastly, The Boston Globe has an interview with him as well, found here.
UPDATE: The Washington Post just posted this interview, which leaves me screaming "Can we get Antony on a goddamn 6ths record already?" Seriously, I can't tell you what a dream that would be.