"I am not at all like the 'I' in my stories," warns Jean Shepherd, who for twenty-one years regaled WOR radio listeners with tales of growing up in Hammond, Indiana; of schoolroom demagogues and Dairy Queens; of Army rigamarole and middle-American ritual. His nightly monologues were more hyperbole than reality. "It may interest you to know that I never went to a prom," says the man whose vivid account of Wanda Hickey and "her night of golden memories" was portrayed in a book by that name, and later on television. "And I have never gone to a Dairy Queen."...