Writer and Director Terry Gilliam His new film is Lost in La Mancha. It's a documentary about Gilliam's failed attempt to adapt the story of Don Quixote to the screen. The film Gilliam was supposed to make was titled The Man Who Killed Don Quixote, starring Johnny Depp, Vanessa Paradis and Jean Rochefort. Gilliam is a former member of the legendary Monty Python comedy troupe and was responsible for the Monty Python TV show's quirky animation. He went on to write and direct such films as Monty Python and the Holy Grail, Brazil, The Adventures of Baron Munchausen, 12 Monkeys and Fear and Loathing in Las Vegas, an adaptation of the Hunter S. Thompson novel.