"Colbert sometimes comedically refers to his surname as French, but his family is actually of Irish descent. Originally, the name was pronounced "Col-bert", but Colbert's father had always wanted to pronounce the name "Col-BARE", remaining "Col-bert" only out of respect for his own father. As a result, James Colbert offered his children the option to pronounce the name whichever way they preferred. Colbert started using "Col-BARE" when he transferred to Northwestern University, taking advantage of the opportunity to reinvent himself in a new place where no one knew him." - http://en.wikipedia.org/wiki/Stephen_Colbert
For those who didn't realize that he is playing a character on his show I have to ask... no wait, I don't want to know. =/