Well this I did not know. Fortean raconteur John Keel - author of the seminal book The Mothman Prophecies - was once interviewed by David Letterman himself. Letterman talks to Keel about the history of Fortean research, anomalous rains of various objects, skyquakes, UFOs, cattle mutilations and cryptozoology. The video quality isn't great, and Letterman voices his skepticism on a number of occasions, but it's fascinating to see the notoriously misanthropic and grouchy Keel affably (and somewhat enthusiastically) discussing these topics with the future king of late night TV.
For those interested in Keel's work, make sure you check out The Mothman Prophecies and Operation Trojan Horse, both hugely influential books in the Fortean and paranormal fields - although keep your skepticism on hand as it sometimes gets wild an wooly. Also, interesting content from Keel's life is still regularly being posted by his friends at the tribute site set up in his honour, JohnKeel.com.