New Eliezer Yudkowsky interview on We Want MoR, the HPMOR Podcast

There's now a very partial one [LW · GW].

A theme is by definition an idea that appears repeatedly, so the easiest method is to just sit back and notice what ideas are cropping up more than once. The first things you notice will by default be superficial, but after reflection you can often hone in on a more concise and deep statement of what the themes are.

For example, a first pass of HPMOR might pick out "overconfidence" as a theme, because Harry (and other characters) are repeatedly overconfident in ways that lead to costly errors. But continued consideration would show that the concept is both more specific and deeper than just "overconfidence", and ties into a whole thesis about Rationality, what Rationality is and isn't (as Eliezer says, providing positive and negative examples), and why it's a good idea.

Another strategy is to simply observe any particular thing that appears in the book and ask "why did the author do that?" The answer, for fiction with any degree of depth, is almost never going to be "because it was entertaining." Even a seemingly shallow gag like Ron Weasley's portrayal in HPMOR is still articulating something.

If this is truly a thing you're interested in getting better at, I would suggest reading books that don't even have cool powerful characters. For example, most things but Ursula Le Guin are going to feel very unsatisfying if you read them with the attitude that you're supposed to be watching a cool dude kick ass, but her books are extremely rewarding in other ways. Most popular genre fare is full of wish-fulfillment narratives, but there's still a lot of genre fiction that doesn't indulge itself in this way. And there's nothing intrinsically wrong with reading that way.

I'm not sure if I can name any podcast that has exclusively "definitive", or, author-intended readings/interpretations, but my own podcast typically goes into themes.