I remember having my own rabbit hole with the Residents band.
In junior high I used to stay up late and watch Letterman. He used to have Chris Elliot the comedian on doing various bits. He had one that imitated the Residents where Chris and several other people dressed up in weird outfits called something like "Maumoshcantz" or something French sounding. Chris' costume had a big black box with three toilet rolls for the face on it and played bizarre, "avant-garde" music. When they finished, Chris came over to sit with Dave. Dave tried to announce the name of the band and Chris scolded him by over pronouncing the name. Then Dave asked what part Chris played and he exclaimed, "I played the guy with toilet rolls on his head Dave! Shesssh!"
I recounted the bit to a friend and he instantly said the whole bit was a tilt of the cap to the band The Residents and it poked fun at their outfits and members on purpose.
This lead me, pre-internet to start digging around to find out what I could about the band. A few weeks later there was some MTV News story about a musician who died that apparently was one of the members. They made light of the fact nobody knew this since the band had purposefully concealed their identities so they could rotate out people as necessary and then say they just wanted people to focus on the music instead. Strangely enough, there was a similar story making the rounds on the internet about something similar that Slipknot was doing and Corey Taylor even used the same reason they wear masks - so fans can focus more in the music! This of course, brought back memories in my own research that eventually concluded with an older brother of a friend who was into really weird stuff and gave me a somewhat sordid history of the The Residents, and some the eerie connections to their management team Cryptic Corporation. He even pulled out several albums saying there's a possibility The Beatles WERE the Residents and showed me the two albums "Meet the Residents" and "Meet the Beatles" album as proof. Keep in mind, I was like 10, my buddies brother was like 16; so imagine how that conversation went down.
Anyways, thanks for bringing this up, it was really fun remembering my own rabbit hole with that band. Which interestingly enough, started with a David Letterman bit and ended with similar rumors swirling around Slipknot.