If you've ever been to Amoeba Records in LA, you know it's an awesome record store. One of the coolest things they do is their "What's in my bag" series. For the series, they bring in musicians and other celebrities to show what records they're buying right now.
It's a cool series that I like, and it helps me find a lot of new musicians and bands. You can search YouTube for their videos, with celebrities like Gerald Casale, Bob Odenkirk, The Zombies, J Mascis, Dave Grohl, and Weird Al, but here are a few of my favorites.
Trevor Dunn (bassist for various awesome bands) picks out some weird music:
JG Thirlwell (from the band Foetus) picks out a variety of even weirder music than Trevor:
Deltron 3030 record a video. Dan the Automator spends his time picking out kitschy movies, while Del picks out various rock and hip-hop albums, which is a pretty good explanation of Deltron 3030 as a group: