What happened when disgraced former Illinois governor Rod Blagojevich appeared on Letterman on Tuesday night?

“Why exactly are you here, honest to God?” Letterman began the interview.

“Well, you know, I’ve been wanting to be on your show in the worst way for the longest time,” replied Blagojevich, who was removed from office five days ago for allegedly trying to sell President Obama’s former Senate seat to the highest bidder.

“Well, you’re on in the worst way, believe me,” David joked. “And the more you talked and the more you repeated your innocence, the more I said to myself, ‘Oh, this guy is guilty.’”