"Little Gorgeous People"
Here's a wonderful (and rude) 3-minute snippet from Kennedy's act at the 2006 Edinburgh Fringe Festival, available for listening on The Guardian's site (not on iTunes, as far as I can tell). Definitely NSFW or for young ears, it will instruct you unforgettably on what not to say to the next novelist you meet.
Tail-Gunners and Literary Risk-Takers
Day, Kennedy's most recent performance in print (US paperback out in March 2009), won a ton of kudos. It unravels and reknits inside the head of a Staffordshire tail-gunner who survived WWII and ends up playing an extra in a 1949 movie about the war. Day's narrative fluidity is challenging, so if you're new to Kennedy, you might want to start with the somewhat more straightforward Everything You Need (US: 2001), a dark and compelling novel set in an extreme writing colony off the coast of Wales, with side trips to lit-luvvy London.
"Writers at Warwick" Podcast
To hear Kennedy's whole stand-up act live, you'd have to fly to the UK. Wherever you are, you can listen to a vintage (1 hour+) "Writers at Warwick" interview from 2002, recorded at Warwick University, where Kennedy studied drama as an undergrad and where she now teaches writing. The episode, too eclectic to summarize, includes readings (explicit/highbrow indigo) from her short story collection Indelible Acts (US: 2003).
Although it's an interview, there's plenty of humor. Kennedy footnotes her cheese queue story excerpt by saying, "Primarily because as they're in a story that I've written, it all goes horribly wrong, almost immediately...because I come from a Calvinist country, and you're not allowed to have fun, especially involving dairy produce--it's wicked and evil. [beat] I also have this rule: that nobody has more fun in my stories than I do in my life." (Minute 23).
You can also read recent Kennedy's observations on writing at her Guardian blog, and enjoy her free-ranging thoughts on the "Obsessive Compulsive" New Statesman blog.
(unKennedy) Warwick Craft Bonus
For writers seeking prompts and craft advice, Warwick's Professor David Morley also podcasts "Writing Challenges" on iTunes.