Apparently he's ready to try making The Man Who Killed Don Quixote again.

But what on earth, apart from highly developed masochistic tendencies, would make Gilliam want to get back in that particular saddle? After all, in September 2000, he spent six days on a plain in Spain trying and failing to make the film. And look what happened then. F16s from a nearby NATO base repeatedly buzzed the set, making filming impossible, reportedly because the pilots wanted to catch a glimpse of Johnny Depp.
The fine French actor Jean Rochefort, who had spent seven months learning English for the role of Don Quixote, got a prostate infection so painful that he had to return to Paris, leaving Gilliam to twiddle his thumbs, American insurance adjusters to wrangle over contracts and French producers to finesse their Gallic shrugs.
The assistant director quit because he didn't believe the film could be made. And then there was the storm, the hideous biblical storm that unleashed itself on the set and carried off some equipment, leaving Gilliam raging and broken in the howling rain like King Lear, and feeling, like Job, that somebody up there didn't like him. It was doomed.
Why would he want to go through that again? "I don't know," laughs Gilliam in his office in London's Soho. "All I know is that this September, Johnny has a window in his film commitments, and all my efforts are concentrated towards that. We're gonna buy back the script, get the crew together, and probably recast some roles. But it's going to happen."

The irony, of course, as the article notes, is that while Gilliam's film is stuck on hold, the making-of documentary is finally about to hit cinema screens here. I've got a preview tape of the film, Lost In La Mancha, so once I've watched that I'll do a review of it...