What do you mean you don't have Letterman embeded on your blog?
Since cutting the cord, I can no longer watch Letterman episodes. Global Maritimes (digital HD Over The Air) doesn't even carry it (possibly thanks to evil NTV). However, thanks to the generous folks at CBS, they let this Canadian watch short clips, despite not being in the geographical target market of their online video advertisers. Even better, lets see if this works, I can embed my favourite clips in my blog!
By the way, the Daily Show and Conan are available, in their entirety, on the CTV web site.