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.
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.