It was hosted by Louis Theroux, son of writer Paul Theroux. A few days ago I downloaded a bunch of episodes of Weird Weekends from Google Video, and I have been enjoying them as much as any television I've ever seen. Even the ones I didn't think I'd be interested in (infomercial inventors) were fascinating.
Theroux is funny without being obnoxious, and his sense of curiosity is strong enough to make him ask potentially embarrassing but profoundly revealing questions of his subjects. The people Theroux interviews immediately feel comfortable around him because he is so friendly and non-threatening, which makes them open right up to him. (The only time I've seen anyone get mad at him was when he was interviewing a white racist skinhead family and he refused to tell them if he was Jewish or not.)
He also wrote a book in 2005 called The Call of the Weird: Travels in American Subcultures, where he goes back and visits the people he interviewed on his program. I just bought it but I'm going to hold off reading it until I've finished watching all the episodes.
Here are the videos I found (some are from later shows called When Louis Met... and another show called Louis and...). Each one is about an hour long, and you can download them to your iPhone or computer if you want to watch them offline: Survivalists, Neo-Nazis, Westboro Baptist Church, Porn Industry, Black Supremacists, Swingers, Body Builders, UFO Hunters, Apertheid Diehards in South Africa, Legal Nevada Brothels, Thai Brides, Gangsta' Rap, Hypnosis, Televangelists, Demolition Derby, Off-Off Broadway, Wrestling, Vegas, Enlightenment, San Quentin State Prison
UPDATE: Jesse Thorne of Maximum Fun interviewed Louis for The Sound of Young America last year. Here's the interview.