When I worked for the MSOR Network under the National HE STEM Programme, we funded a project called Being a Professional Mathematician which was run by Tony Mann (University of Greenwich) and Chris Good (University of Birmingham). This included the production of a set of audio interviews with mathematicians about their work and historians about historical mathematicians. This audio is now available to listen to in podcast format.
Get the Being a Professional Mathematician podcast in RSS format.
Get the Being a Professional Mathematician podcast on iTunes.
The wider project includes resources and suggestions for using this audio in teaching undergraduates, inclunding the booklet Being a Professional Mathematician.
Enjoy!