My recollection is that Jon Ronson started the whole awkwardly chatting to odd people and letting them expose their oddness schtick. He had a column in the Saturday Guardian in the early 90s doing that iirc. Then Theroux did a better job of it on telly. Pennis was later, wrapped up in that lad culture irony stuff like the Bo Selecta guy.
It was quite interesting hearing them do podcast together recently when Louis started doing them for lockdown, talking about how they had always been low-key rivals. I only realised recently Jon Ronson did a TV series based on his book them, his style definitely doesn't work as well on the screen.