The programme returns for a second series on BBC Two

"There are a few characters who are weird and if you laugh they can't handle it. A good example of this was a Guy called Thor Templar who was first in the UFO show."

"He claimed to have killed 10 aliens. He described shooting them with a ray-gun and then using a sharp edged instrument to chop their heads off. At that point I started giggling and he didn't really like it."

But despite the fact that Thor couldn't see the funny side, Theroux still keeps in touch with him. "He's still really weird," says Theroux.

Beyond weirdness

The line between weird and plainly certifiable is a fine one. Theroux says it is an important distinction when searching for subjects for the series.

"If someone was so weird that they couldn't function in the real world then at that point they go beyond weirdness and go into mental illness.

"We found a guy in the mid-west who was living with his parents and working in a petrol station who said he was the Prince of Darkness.

"Come August, hell was going to rise up from underground, Satan was going to become king on Earth and he, this guy, would be sitting at his left hand, or on his right hand, I can't remember which, and governing the world with Satan.

"Now that's all very interesting - but what can you do? You can't really have a conversation at that point because all you can say is 'No you're not.'"

The second series changes the Weird Weekend formula slightly. Instead of just observing people with extreme beliefs, this time around Theroux rolls his sleeves up and gets involved with people who have weird jobs and hobbies.

The BBC's Louis Theroux trying to sell a paper shredder on Florida's Home Shopping Network

In the first episode Theroux investigates the world of the infomercial by visiting a 24 hour shopping channel in Florida. Theroux ends up having to present a live infomercial himself, something he readily admits was a nerve-wracking event.

But that was not the biggest challenge he has faced in the quest for weirdness. The episode on Southern Californian swingers proved to be more than a little embarrassing.

"Worse than the home shopping network was the swinger's party. I just got incredibly worried about the idea of being there. I just wasn't sure what I was doing there, really.

"I have a girlfriend as well and I felt very, very awkward. I thought by being there 'Am I advertising my availability? Am I going to be press-ganged into taking part in an orgy?'"

But despite his discomfort, Theroux would rather swing than sing. Worse than the bored Californian couples seeking sexual thrills was the audition to become a singer on a Norwegian cruise liner, which appears in the episode about the lives struggling off Broadway actors.

"I sing in the shower as they say, and I can carry a tune - but even my ability to carry a tune deserted me under pressure," he says.

Theroux is set to continue on the trail of the weird into another series. What has to be the most significant date for any weirdo - the millennium - is likely to provide some good material.

"I'd like to do something about the millennium and how it all goes down in Jerusalem. There are so many people who have gone there expecting the world to end and are already camping out.

"It will be really interesting to see how they rationalise it when it doesn't happen. Or maybe it will happen, you never know."

Louis Theroux's Weird Weekends starts in the UK on Wednesday 12 May at 2130 on BBC Two.