Got it....
Cenobite - I have this on a dodgy VHS tape if you want to copy it - well most of it and it is old. I'm across the river from you so could be easy.
Portishead did do the music and there was a really excellent version of Creep by some bird.
Got the bits inbetween the programmes with interviews with ordinary people (see my entry re. my ex under 'It Happened to Me', the an excellent docu-film about the last big freak show in the US with bearded ladies and all kinds of weirdness, a specially made film about Urban Legends and this unfortunate sceptic who becomes one, the weirdness index for that year and a few other bits I cannot remember, plus a banned from the Beeb Xfiles episode that cuts out just before the end and leaves you hanging on.
Cannot vouch for the quality, however.
email me if interested