An almost-naked Nick Frost, having had his legs and ample girth cocooned in bubble wrap, has been lowered into a bathtub and is covered up to his chest in ice-cubes. "And... action," comes the command. Frost drags on a cigarette while staring wistfully at a photograph of a woman. "A bit more grimace, Nick, more pain." Frost takes another drag, looks again at the photograph and gives a bit more grimace, more pain. "Lovely. Let's get Nick out of the bath please."
We're at Pinewood Studios, where the BBC is filming an adaptation of Martin Amis's zeitgeisty 1980s novel Money, the set recreating a swanky New York hotel suite of the period – all Art Deco lines, dark browns, burnished golds and the sort of glass-topped coffee table that might be ideal for chopping lines of the era's most fashionable drug. Frost is playing John Self, Amis's hedonistic director of commercials, who has been lured to the Big Apple by movie producer Fielding Goodney (played here by Vincent Kartheiser, otherwise known as Mad Men's tortured Pete Campbell) in order to make his feature-film debut. Subtitled A Suicide Note, Money tells of Self's loss of self amid an orgy of over-consumption.
"I read the book when I was 25, before I was an actor, and I remember thinking I was a bit like John Self," says Frost, having changed out of his bubble wrap and into something warmer. He admits he tried to re-read Money recently, but without success. ' "Is that wrong of me to say? I tried to read it on holiday and it was just a bit... it made me feel down. My mother-in-law and my sister-in-law both read it separately for their book groups because they knew I was doing this. My mother-in-law comes round on a Sunday and reads me salient passages. She's Swedish, so it's a very Swedish thing to do, I think, to stand around reading from sombre books."
The production, part of BBC2's 1980s season, couldn't afford to film in New York, so some American talent has been imported instead. As well as Kartheiser's Goodney, that Texan icon of 1980s glamour, Jerry Hall, plays Caduta Massi, the fortysomething actress who, despite being insecure about her body, is asked to film a nude sex scene in Self's projected movie. "She is beautiful, with a real history... Studio 54, her arm around Andy Warhol, necking a bottle of champagne," says Frost. "I'm thinking about scenes like that and two days later I am putting my head in her boobs. Actually, Jerry lives round the corner from me, so we're going to walk our dogs together."
Dog-walking with Jerry Hall (for the record, Frost's is a border-terrier puppy called Kenny) – the 38-year-old from Romford in Essex has come a long way, especially from his own John Self period when he waited tables in a Mexican restaurant called Chiquito's for six years, returning to an über-laddish flat-share in Highgate for daytime boozing and television.
One of his flatmates, of course, was Simon Pegg, and no profile of Frost gets far without mentioning him. Unlike Frost, who was in a self-confessed "restaurant rut" with "loads of nice, cute waitresses", Pegg was ambitious. Already a successful stand-up, he was co-writing (with Jessica Stevenson) his breakthrough Channel 4 slacker sitcom Spaced. Believing that Frost was the funniest person he had met, he literally wrote his flatmate – or rather a weapons-mad character Frost used to put on to make Pegg laugh – into the script. It was a life-transforming move that Frost likened once to "coming out of primary school and going straight to university".
Roles in shows without Pegg, such as Man Stroke Woman and Hyperdrive, have followed, but Frost's biggest successes have been in Pegg-scripted movies, in the zombie comedy Shaun of the Dead and the cop buddy-movie spoof Hot Fuzz. In their latest film venture, Paul (about two friends who stumble across an alien on the way back from a comic-book convention), Frost shares the writing credits. They have also just finished filming Steven Spielberg and Peter Jackson's new 3D Tintin adaptation, in which they play (inevitably) the Thompson twins.
Having even had to share a bed at one stage in their ramshackle pre-fame existence, Frost is now keen to declare a greater independence; a distance that is expressed geographically by Pegg continuing to live in north London, while Frost has moved to leafy Twickenham in west London with his aforementioned half-Swedish wife, production executive Mariangela ("She was very cold to me at first, then she thawed"). He and Pegg tend to meet at the office these days, at Big Talk Productions, where they have facing desks.
The Pegg-less gigs have all been in support roles, which is partly why, when Money came along, Frost was "quite surprised I got the call". But, says the producer Ben Evans, Tom Butterworth and Chris Hurford had Frost in mind as they wrote the script. "I accept that he is not instantly a choice as leading man," says Evans. "But I am a huge fan of his work; he has an incredible capacity for physical comedy and he also brings a vulnerability."
It's certainly a step up from being offered the part of Paul Potts in a (now abandoned) biopic of the operatic Britain's Got Talent winner. "I read the script and if it hadn't been about Paul Potts, I'd probably have done it," says Frost. "It was good. But I didn't want to be known as Paul Potts. I'd rather play Pol Pot."
Frost doesn't want to be typecast in lardy roles, just as he doesn't want to be typecast in real life. I ask him about something I'd read about him not travelling by public transport any more as he was always getting into fights, claiming, "I think some people see me as being some kind of lovable, bumbling buffoon and I'm actually quite mouthy and sharp."
"It's worse since playing John Self," he says. "There's a bravado about me. I've been a bit of a shit at home, really; sweary and more aggressive. Not with my wife but, like, people walking past the house looking in. I'm up like a dog, 'What the fuck are they looking at?'"
Brought up by parents who had both been married previously, Frost had a contented upbringing – but it came to an abrupt end at the age of 16, when his father's furniture business went bust, their home was repossessed and they were re-housed on a tough council estate; his father suffered a breakdown and his mother a stroke. Leaving school early to get a job as a shipping clerk, Frost became a raver, and spent two years on a kibbutz before ending up in that fateful flat-share with Pegg.
And so back to Pinewood. Why, I wondered, was Frost's Self immersed in an iced bath? It turns out that he is recuperating from a bruising game of tennis against Goodney – and it's on the tennis court that Frost punctures another preconception engendered by his physical appearance. "I'm actually not a bad player," he says. "I wouldn't want to overstate my skills, but I am a keen amateur. People on set laughed at my 1980s outfit and racket, but when they saw my hammering serve, they said, 'He's quite good, isn't he...'"
It's a taste for the sport that Frost shares with Martin Amis, whose literary creation is taking the actor out of his comedic comfort zone. "A lot of people who do drama say comedy is the hardest thing, but, not wanting to sound like a bighead, comedy is easy for me as I've always been fairly funny. But what isn't easy – because we are all vain to a certain extent – is that with someone like John Self you have to leave your vanity behind. You have to sit in your underpants eating handfuls of pills, crying. You have to – I sound like an actor and I hate it – but you have to go places that you don't normally go because it isn't nice."
And Frost can't get enough of it – making up for lost time perhaps. "In the past five years I've only had a few weeks off and one of those was for my honeymoon. I love working. I feel guilty about doing nothing; I get bored. I kick around the house. Someone once pulled me aside and said it was all right to succeed, and I realised that I knew what failure felt like, but I didn't know what success felt like. I've carried that with me ever since."
'Money' begins tonight on BBC2 at 9pm, concluding on Wednesday