- He is a former journalist with tabloid newspapers The Sun and the Daily Mirror.
- He once sang with space rock band Hawkwind at London's Astoria.
- He is a fan of psychedelic, progressive/art rock music. He is a fan of Gong and Here & Now (he claims that seeing Here & Now in concert in 2010 was one of the best shows he has been to). He described Peter Gabriel as a "god-like musical genius" in the Mirror in 1999. He went to see King Crimson in concert in Aylesbury in 2016.
- He is a big fan of Frank Zappa, Sparklehorse, Grateful Dead and Giant Sand, in particular the Led Zeppelin songs "Going to California" and "The Battle of Evermore". He has also admitted to being a big fan of Haircut 100, once stating they "provided the soundtrack for the '80s, certainly for me". He is such a big fan of The Cure that he went to see them twice in one week in 2016, at Manchester Arena and Wembley Arena. He is also a big fan of George Ezra.
- He used to regularly sit in for other presenters on BBC Radio 2, which led to his being given his own regular show on the channel, The Weekender, which is broadcast on a Friday night between 22:00 and 00:00.
- He enjoys angling.
- He owns a 750cc Triumph T140V Bonneville motorcycle, kept in his home's hallway.
- He studied Drama and English at Exeter University.
- While filling in for Richard Allinson on Radio 2 in 2004, he revealed that one of his all time favourite albums is "The Colour of Spring" by Talk Talk. Other favourites include "Siren" by Roxy Music and "Revolver" by The Beatles (which he considers their best album).
- He was a fan of the television series Doctor Who (1963) as a child. He claims the scariest story he saw was The Green Death: Episode One (1973). His favourite Doctor, though, was Tom Baker.
- He attended the wedding of Phil Collins and Orianne Cevey in 1999.
- A self-admitted fan of the notoriously uncool music genre progressive rock (derided by his regular panelist Dominic Holland as "the most embarrassing music ever"), he is the regular host of the Progressive Music Awards, which he inherited from Gavin Esler. Wright has also publicly expressed support of music crowdfunding. In April 2004, he interviewed the neo-progressive rock band, 1980s chart regulars and online music crowdfunding pioneers Marillion on BBC Radio 2 about how they had sustained their career through the direct support of their fans. He subsequently crowdfunded an album by a Belgian avant-garde jazz band, The Wrong Object, for which he also received a credit as a producer.
- He earned the nickname "Shirley" at school due to his uncanny resemblance to the film star Shirley Temple.
- He often makes fluffs in delivery and misreads the autocue due to the speed of his speech. He once caused amusement by claiming Deacon Blue had "a string of hit signals".
- He finished second to James May in Heat Magazine's "Weird Crush of the Year".
- He has admitted on national television that he lost his virginity at the age of 14 after attending a Black Sabbath concert.
- He has mentioned several times on The Wright Stuff (2000) that "Sometimes It Snows in April", a track by Prince from his 1986 album "Parade", is one of his favourite songs.
- He is a big fan of Peter Tatchell.
- On presenting the Progressive Music Awards in London in 2017, Wright wore a patterned velvet suit which, according to journalist Malcolm Dome, "stunned" everyone present. Dome quoted Steve Hogarth as saying: "It looks like something I scraped off the roof this morning".
- He has a friend in the prog-rock band Knifeworld.
- He is a major supporter of The Wild Trout Trust.
- For six months between 2018 and 2019, he and his wife were stalked by Michelle Ranicar from Uxbridge. In October 2020 she pleaded guilty to the offence at Wood Green Crown Court.
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