Dan was interviewed in Playboy Magazine around the time Coneheads came out. Paul Rudoff had the interview transcribed on his site for a long time, and then he gave me the interview to put on my old site (which is no longer online).
It was a pretty good interview. He talked about all his movies. And he mentioned some Ghostbusters anecdotes. Like how young kids often confused him with Bill Murray because they were both in GB.
You might be able to find a copy of it on Ebay (if you're old enough, hehe). Dunno who the playmate of the month was, though.

I've got a couple more interviews from Dan and Harold from TV guides and newspapers and stuff if anyone wants them for their website. They're pretty old, though.