Anand In-Depth Interview
It may be somewhat out-of-date, but an hour-long interview (conducted in December 2009, before his succesful title defence) has now been transcribed in full and published in three parts by Chessbase.
Most interviews barely scatch the surface of the player and their character, but this one delves much deeper and is surpisingly revealing. A must read for any chess fan, especially fans of Anand! 
Some brief excerpts:
On defending his title against Topalov:
I would say you have to be mentally ready for lots of stuff. Even things like psychological warfare, people winding you up. It just comes with the territory. From now on they will be trying to get inside my head. You have to be adult about it and just deal with it.
On Topalov's manager Danaliov:
I don't want to respond to his rubbish.
On the length of matches:
I find it hard to imagine how people once upon a time played even 24 games. Not to speak of the ones which went to 32 and 48. I find them completely absurd...12 games is the maximum. It shouldn't get any longer.
On reacting to losses:
At some point you have to let go... In one or two days it should be gone...a defeat can accentuate your problem if you are not in good shape. That's when really things go wrong. If you are playing well, a defeat here or there shouldn't stop you in your tracks.
On (not) being #1 in the rankings:
My motivation to win the world title is much higher. It's not really comparable. I understand at some level that you if are the best you should become World number one. If I start winning tournament after tournament, that will follow. That's okay. For me the world title is much more important.
