David Letterman -- Colbert's First 'Late Night' Guest Should Be ...

It's the first clear sign Stephen Colbert will not be abandoning politics for entertainment when he takes over from David Letterman ... and the clue comes from Dave himself.

David Letterman was heading into the Kennedy Center in D.C. Saturday night when our photog asked the late night host which guest he thinks should christen Colbert's show.

The 67 year-old TV legend has to think about it ... but the choice is interesting for sure and maybe even revealing.