It was definitely fascinating to watch for a while. I would actually love to watch live coding with commentary of some good programmers, I imagine you could learn a lot from it.
On peepcode.com you can find several screencasts where you can watch experienced developers working on a mini-project while thinking out loud
The series is called "Play by play".
Here's the one with Zed Shaw:
http://peepcode.com/products/play-by-play-zed-shaw