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Paul Reubens has left the Earth, riding a sporty red-and-white bicycle into that Puppetland from whose bourn no traveler returns, but leaving us with his great creation and alter ego: Pee-wee Herman.

As someone who grew up enjoying Pee-wee Herman, I was very interested to learn about the man behind the man-child, Paul Reubens, in Pee-wee as Himself. Director Matt Wolf’s two-part documentary, now ...