I just found another piece by the KLF. It's a film called "The White Room", and the script is found here.

Supposedly, this is a true story. Anyways, the deal (which can be found in the KLF FAQ link above) is that the KLF made a "road movie" after signing a mysterious contract. After making the movie, they played the premier of the film at a London club with the movie playing and them providing the soundtrack.

Later that evening, they were approached by a young man who told them a wild story which involved him, them and the movie they made. They worked his story into the movie by making two movies, and "Inner" and an "Outer" movie and combining it into one 52 minute film. The "Inner" film is the original film shot in 1998-1989, the "Outer" film portrays the dramatically reconstructed events described by the young man, which supposedly took place while KLF were filming their movie.

True or not, it made for a compelling and facscinting read...