Lance Henriksen later said in an interview that this was one of his worst experiences ever. He went on the show to promote his show Millennium (1996) even though he really doesn't like to appear on talk shows. He said David Letterman didn't make it any easier for him. He has never been a guest on it since.
Henriksen mentions during the interview that his first movie role was actually that of an extra in a documentary about vagrancy that some crew was shooting in the jail he was lucked up for vagrancy.