"Why exactly are you here? Honest to God," asked Letterman, as his guest settled into his seat.
"Well, you know, I've been wanting to be on your show in the worst way for the longest..."
"Well, you're on in the worst way, believe me," the host interrupted.
Blagojevich made another round of TV show visits Tuesday, repeatedly saying he'll be vindicated in the scandal that has cost him his job and has him facing a criminal trial.
He told Letterman that he keeps thinking he'll wake up and people will realize "this is just one big misunderstanding."
Blagojevich's return to national television prompted some to speculate that the former governor was perhaps angling for a future book deal or talk show.
Blagojevich's publicist says offers of work are coming in, but he declined to provide details. "Every day we get several offers of something he could do or would like to, and there are certainly no shortage of people who would love to speak with him," publicist Glenn Selig said.
Last week, the Illinois Senate convicted Blagojevich of abuse of power. Blagojevich also faces federal charges including allegations he tried to profit from selling President Barack Obama's U.S. Senate seat.
"You persuaded me. Others who said it persuaded me," he said. "I felt if I'm going to go down, I should, at least, beg the case to them."
At the Letterman show, Blagojevich laughed with the audience when the host mentioned watching him on several television talk shows, including "The View" on ABC, "The Rachel Maddow Show" on MSNBC and the "Today" show on NBC.
"The more you talked," Letterman joked, "and the more you repeated your innocence, the more I said to myself, 'Oh, this guy is guilty.'"
When Letterman named three former Illinois governors who were engulfed in political scandals ("Is this just part of the oath of office that you guys take?" he joked), Blagojevich replied, "Unlike those, I'll be vindicated," to laughter in the audience.
"I did nothing wrong," he said. "And I'll have an opportunity to be able to go in a court to prove that I did nothing wrong."
Letterman asked Blagojevich what he planned to do with his time leading up to the trial.
"Well, I'm looking for work," Blagojevich replied. "Are you hiring?"
He then said he planned to "take stock of things and rebuild."
"My wife and I will come together," he said. "We'll put our lives back together."
He added that, after being vindicated, he'll look forward to becoming "a voice for average, ordinary working people, the people that I fought for as governor."