This brings back memories of my favorite class in high school, AP Physics. I found a lot of the content boring, but the teacher had creative ways to demonstrate so many things. He had what we referred to as "the Storage Closet of Holding" -- packed with all kinds of things. Every class period he'd disappear into the closet at least once and come out with something related to the day's content, like: "Here's a cavity gravitron from a World War II radar a buddy of mine gave me..."
My point though, suddenly the complex math I was struggling with made sense, and now it was fun, I wanted to learn. Colbert makes discussions on policy (and other topics) fun too, albeit in a different way, but the combination of his stage persona and the presentation style makes you look at ideas through many different lenses.
But I think that the type of person that enjoys and gets the show factors in as well. Having intelligent, open minded viewers makes his presentation style highly effective. Since we are human, we all have our biases and will put more focus on data that supports rather than contradicts those biases. But being aware of that, something I think many Colbert Report viewers are, keeps our minds open -- something that helps us pay more attention to the details and apply critical thinking to all of the ideas presented regardless of any preconceived notions we may have.