I just finished reading Neil Gaiman's interview with Stephen King, posted on his blog yesterday. I love the dynamic of this kind of interview. It's interesting to see what Q's and A's are conjured up when both the subject and conductor are artists you admire. Plus it's almost guaranteed no one will bring up the old "where do you get your ideas?"
There was another one that King did in '05 at The New Yorker festival, with Martin Amis of all people.
Some of the other cool ones I've come across lately have been:
William S. Burroughs and David Bowie in Rolling Stone, '74
Andrew Eldritch (The Sisters of Mercy) and Leonard Cohen in '94. This one originally appeared in the German Rolling Stone, and was reprinted in its entirety in the Sisters' fanzine Underneath the Rock.