I know it's not terribly new, but since he's touring and he's got a new album at all, I just have to direct your attention (if it hasn't already been directed) to Bob Dylan's "Theme Time Radio Hour" on XM Satellite Radio. The show features songs Bob likes -- it's really that simple -- but, crucially, it also features Bob himself, providing quirky descriptions and banter as only he can. In a recent show arranged around the idea of "matrimony," he described one artist as "a tornado of a singer who can rise to great heights, but with a diameter of only a few hundred yards or less."
If Bob's not your thing,
you're missing out maybe you'd prefer Tom Petty's show instead. Best I can tell, however, the only other remaining member of the five Traveling Wilburys is not working on a show of his own. (The other two are the late great Roy Orbison and George Harrison.)