Here's the two editions of Gorgon Video Magazine. They came out in the 1980s and exist only as VHS screeners sent to the video stores of the day. The shows are hosted by Michael Berryman. He has guests, some comedy bits, and clips from horror and cult films. The quality isn't that great but the other alternative is to find a VHS tape. There's a couple of copies on Amazon for $35 - $55 a volume. Since they made the last VHS recorder a couple of months ago it might get hard to find a working deck in the future. I'll be happy with the copies I downloaded from YouTube for as little as I would want to watch them.
Volume 1 has interviews with Wes Craven, the guys from KNB, Gwar, Linnea Quigley and Lloyd Kaufman with a dark beard.
Volume 2 has interviews with Stuart Gordon, Penn & Teller, Dominique Othenin-Girard, Screaming Mad George, and more. There's a short segment with several underground comics artists like S Clay Wilson and R Crumb.