I think Dana Stevens gets the trouble with the Colbert Report exactly right:
Watching Colbert stretch his Daily Show character into a half-hour format sparked an impromptu reflection on the work Colbert has cut out for him. Jon Stewart may laugh at everything and everybody, including himself, but for the most part, we don't laugh at him. On the contrary: Stewart is, quite literally, our anchor, the one fixed point of sanity who watches, bemused, as the utter insanity of the day's news (and of his correspondents, who seem to take it all seriously) swirls around him. Stewart is the guy scanning the headlines and pausing to ask, "What the hell is this? What's really going on?" The whole joke of Colbert's persona is that he deliberately avoids asking those questions, or indeed, any questions at all. Stephen Colbert (or "Stephen Colbert," the character he plays) is proudly ignorant, aggressively obtuse—qualities that make him perfectly suited for parodying the new breed of cable-news bloviators. But by its very nature, the position Colbert occupies—the butt of his own show's joke—seems more difficult to sustain than Stewart's role as the eternal observer.
It is much tougher to sustain. What's great about Stewart is..well..Stewart. He seems like our voice in the media. A sane, intelligent, skeptical, well-meaning paladin for the people. We like to watch him because his interviews and humor bring us in on the jokes. Colbert, on the other hand, is the joke, trapped in a self-consciously disagreeable persona for the duration of his program. He's been following the O'Reilly template well, primarily taking on small bore, funny/stupid/outrageous stories, but since he's doing it in order to mock O'Reilly's template, it's a bit hard to watch. After all, if you want to see O'Reilly made fun of, yoou want that because you find the idea of watching his show every night distasteful. Thus, watching a show patterned -- however ironically -- on the No Spin Zone is similarly exhausting.
I really, really, really want to like the Colbert Report. But I'm having trouble doing it.