Craig Ferguson is the late-night TV host who doesn't think of himself as one. He despises the suits he has to wear for the camera and enjoys fooling with the blueprint of a celebrity-driven talk show. On a recent episode of his "Late Late Show" on CBS, he went without his usual studio audience and devoted the show to conversing with one guest, actor and writer Stephen Fry. Before launching his late-night career in 2005 (with help from David Letterman's production company), the Glasgow native worked as an actor, a bartender and a punk-rock drummer, among other vocations. Mr. Ferguson, who became a U.S. citizen in 2008,...