They know he's a staunch-progressive, they know his audience is rooting for them to fall on their face and they know he's a worthy opponent, but neo-cons like being interviewed by Jon Stewart just the same.
New York Magazine has an article about why hardline Republicans enjoy getting face time on "The Daily Show." Stewart lets them answer his questions. He doesn't cut them off and start berating them like left-leaning pundits. Even conservative TV hosts don't seem to care what their right-wing guests are saying. They just want to feel justification for espousing their own views.
Stewart is different. He wants to talk about big issues, and engage in a genuine back-and-forth. Admittedly, that discussion is often interrupted by loud applause from Stewart's audience, but the host tries his best to keep them quiet while the grownups are talking.