I found out that the movie Paranormal Activity was being screened at Slamdance this year, so when I went over to check out the schedules, check out what I found on the front page! An interview with Chris Nolan looking back at the process of making Following, his first movie which was screened at Sundance.
I think that clip is the only video available online from the Q& A segment.
I'm surprised not more people have been checking it on on this message board. Seems like a good find, unless this is old news and had already been posted before.
I found a full audio recording of the interview with Nolan at Slamdance. It's almost 25 minutes long. The audio quality is very poor (and I mean, VERY poor), but if you turn up the volume then it's a bit better. Scroll down to the bottom of the article to hear it: