Back in 2006, the Eurythmics posted four podcasts that highlighted the musicians perspective around many of the songs that they had produced and released in the past.
Elvis Costello recently did the same thing with a 10 segment podcast series. If you are an Elvis Costello fan you'll definitely enjoy the history and reflections.
There is now news from antiMusic.com that Stevie Ray Vaughan has embarced on his on podcast series to promote his new 'SOLOS, SESSIONS & ENCORES'.
UPDATE (12/26/2007): Apparently New Order has done this also but is selling the reflections and thoughts bundled around an album posted to iTunes.