Well, off the top of my head, the recent interview with President Obama was excellent - topical, serious when needed, and humourous. Whenever an American actress/comedian called Amy Sedaris is on, it's always hysterical, and when he has a person on who's he's obviously friendly with in real life, such as Julia Roberts or Regis Philbin, it's always an entertaining watch.
Obviously, not all interviews are great, but that's the same with any talk show host.
But then again I'm quite happy to say that Letterman's an acquired taste - it's not really the interviews that make the show, it's the stuff before that. The inside references, the little running jokes that you only pick up on if you watch it nightly, that's what makes Letterman's show for me. It's a show that you can obviously dip into every now and again, but you only get the genius of it if you watch regularly.
Incidentally, the excellent Lewis Black (one of Jon Stewart's regular contributors) gives his take on recent events. This is brilliant, and sums it up far better than I ever could:
http://edition.cnn.com/video/#/video/showbiz/2009/10/05/sot.lewis.black.letterman.cnn