I built one...
Well, he's almost finished. I have to finish his arms, and then dress him. Actually, he's my first gonzo, so usually the first puppet I make of any character serves as my prototype. I'll make corrections in my design and build a second puppet as a final. Anyway, that being the case, I'll probably have this one up on E-bay by the end of the week.
I agree with "thatonekid" about making original characters, but how cool would it be to have a perfectly timed brief, silent cameo appearance of Gonzo the Great in a live puppet show. I think that would be awesome, like he just walks by in the background or something.
I just put up a couple of pics here -
http://www.projectpuppet.com/gonzo
Of course he doesn't have arms yet, and he's naked (we all know gonzo always wears clothes), but he's coming along.