In improv, the whole thing is that it is a relationship between the two people, as a back and forth. In standup, you don't really want to be listening to what somebody is saying; you want to project your jokes into their face. And that's really not a good instinct with a 'Daily Show' field piece, where it's supposed to be an interview.
I have occasionally - if ever I do interviews that are difficult or nerve-wracking - I take my wife's dog tags and have them in my pocket because it's a very quick way to realize that what I'm doing is not that important. It's not really worth getting stressed about because it's not, you know, war.