The beauty of Stephen Colbert is that he assumes his TV alter ego the bloviating pundit Stephen Colbert so completely that he almost becomes whomever you want him to be. Most see his show, The Colbert Report, as a scathing satire of shrill conservative commentators like Bill O'Reilly. But some conservatives buy into the character so much that they watch it and think he's serious.
The real Stephen Colbert claims to be less political conservative or otherwise than his on-air persona. Like Baron Cohen, he seldom does interviews independent from his character, opting to keep his real life and political leanings more private.