I forget: Did Schwarzenegger announce his candidacy for governor on the Tonight Show, too? I have to say, I find Thompson's personality winning enough, and I'm not one who goes for the folksy, down-home schtick (except of course when it's Kinky Friedman on the stump).
However, his Watergate past troubles me, and he should pressed about this every step of the way. There's every indication that, as an assistant attorney investigating the Nixon administration, Thompson leaked evidence to the administration in advance of the most famous Senate questioning of the whole affair.
Also, I've yet to hear or read about his strategy for Iraq, which is really what will decide the race next year. Gnomic wit and charismatic evasion do not a military plan make.