http://www.amazon.co.uk/Only-Living-Witness-Serial-Killer/dp/1928704115
Only Living Witness is based on interviews with Ted Bundy while he was on death row. It sounds like exactly what you are talking about. He never confessed his guilt, so he speaks weirdly in the 3rd person about what a 'person' would do if he were the killer. It's pretty incredible.
Also yeah, In Cold Blood is rightfully a classic of this genre.