According to the AP:

Comedian Stephen Colbert will take his show, The Colbert Report, to the Persian Gulf on a USO entertainment tour, saying it will be the "closest I've ever come to being brave." In an appearance on the "Late Show with David Letterman" on Thursday, Colbert said he was invited by General David Petraeus, head of US Central Command, to entertain US troops in Iraq. Although American entertainers have long taken part in United Service Organizations tours, the Colbert visit will be the first TV show "to produce more than one episode in a combat zone," Comedy Central said in a press release. Colbert told Letterman that he had gone through "basic training" for his upcoming trip. "I did basic training. I went down to Fort Jackson in South Carolina," he said. "And I did the entire eight hours of basic training." "I got yelled at a lot. You know, I know they weren't yelling at me. But it felt like it was at me," Colbert joked. "I did simulated fire exercises with M16s with blanks in it … I made a mistake. I ran out of bullets. And naturally I surrendered, and I apologized to the other side." He did not disclose which base or bases he would visit during his stay in the Persian Gulf, saying the US military does not allow him to.