"If I wanted to face insurgents I would've spent Christmas with my relatives."

Letterman goes to Iraq for a Christmas Eve show. Grinder Girl and Hula Hoop Girl go too and are much appreciated.

The article (in the Marine Corps News) points out that Letterman is "a staunch supporter of the Marine Corps":

On the Sept. 17, 2001, episode of "The Late Show," his first show after the attack on the World Trade Center, Letterman declared he had "three new heroes now. They are New York's bravest, the firefighters; New York's finest, the cops; and the United States Marine Corps because, as you know, before this thing is finished, it will be the Marine Corps that goes in and settles the score."