I don't think Woody Allen is that mysterious. I've interviewed him in the past and found him to be honest and forthright and funny. I've read lots of other interviews with him, and I've watched docs about him (Wild Man Blues is an underseen gem that follows Woody on tour in Europe with his jazz band. It's incredibly intimate and gives you a hell of a look at the man. Sadly it's out of print at the moment). I think that what trips people up about Woody is that he is EXACTLY AS HE SEEMS TO BE. There's no pretense.
PBS' American Masters will air a massive two-part doc about Woody on November 20th and 21st (9pm, check your local listings), and there's a trailer for it now. The trailer leans a little heavily on people talking about Woody, which is disappointing because director Robert Weide spent a year and a half with Woody, so there's surely a ton of footage of the man himself. I guess they're saving that all for the show.