I didn't know who Emily Vancamp was at the time, she took part in the most famous episode. Craig faux producer Dana DeLorenzo is currently part of the cast of Ash vs Evil Dead.
Maybe Craig preferred a shoestring budget, it gave him greater creative control. It wasn't all bread and water for Craig, Letterman lobbied to get him a fatter contract, even though their relationship was never more than cordial.
What ever became of Conan Obrien, he was second fiddle for years behind letterman or Leno, I can't remember. I believe he was on a shoestring budget also.
Craig appeared on The Howard Stern Show in 2007, it gave him the ratings cushion he needed to develop his concept. Unfortunately the interview is unavailable without a subscription.
Craig did it his way, who else could induce the surly Rusty to do the Secretariat dance!