C'est arrivé près de chez vous (1992)

A camera crew follows a serial killer/thief around as he exercises his craft. He expounds on art, music, nature, society, and life as he offs mailmen, pensioners, and random people. Slowly he begins involving the camera crew in his activities, and they begin wondering if what they're doing is such a good idea, particularly when the killer kills a rival and the rival's brother sends a threatening letter.