Significant things that came out of this interview:
1. Bannon names names, listing the people in the State and Defense Departments that he is actively trying to oust.
2. On a military option against North Korea:
3. On white supremacists (that he's helped to stir up):
4. Coda to the above, he said (accurately IMO) that the more Democrats harp on identity politics, the more elections they'll lose.
5. His biggest foreign policy concern is trade with China.
According to one source, Bannon told people that he didn't think he was giving an interview (but he never claimed to ask the reporter to keep anything off the record). There was also, apparently, some puzzlement about why he would call a reporter for The American Prospect, which is about as hostile to Trump as you can get without being Daily Kos.
This same article suggests that a lot of erstwhile allies of Bannon are none too pleased about this. One of them is quoted as saying:
. . .
There're two obvious scenarios, and I'm not convinced they're actually mutually exclusive. The first is that this is a matter of Trump's inability to manage the people around him, and Bannon continuing to operate as if he's in charge. It's also possible that it's part of some broader strategy, although whose it is and what any kind of end goal may be aren't clear.
edit to add: Here's why I think it's the former. Bannon has long been trying to be the man in charge, from having himself assigned to the NSC to trying to oust Reince Preibus (and, apparently others). And notice how he words some things: in his quote on military action against North Korea, he talks about how there's no plan unless someone can show him how to avoid significant civilian deaths in Seoul. Not "us," not "the President."
The other thing the article mentions is that Bannon claims to be trying to get a bipartisan consensus on China being a threat economically. Maybe by reaching out to a left-leaning reporter, he's trying to make it easier for Democrats to work with him? This fits if, again, he seems himself as actually in charge (or at least is trying to be). This is especially interesting as the Republican Party leadership is increasingly deserting Trump. Bannon's become increasingly isolated in the White House, and the Republican leadership in Congress is increasingly deserting Trump. Maybe Bannon's decided to turn his isolation to his advantage and be the last man standing?
PBS interview with Kuttner, the author of this article. They try to explain why Bannon called him. Someone who has been covering him says that it sounds very much in character.