BBC Radio 4 - Letter from America by Alistair Cooke (via Metafilter)
The BBC did put up a lot of them (with transcripts) after he died, but now we have
them all.
Among the highlights is his experiences at the Ambassador Hotel when Bobby Kennedy was shot. He was only yards away. BBC Radio 4 - Letter from America by Alistair Cooke, Bobby Kennedy's assassination, 1968
One I found interesting was a post-9/11 commentary. He touched on some aftereffects, and he also related how he introduced Leonard Bernstein to Handel’s Messiah. BBC Radio 4 - Letter from America by Alistair Cooke, The Messiah at Christmas