I don't know the exact reason, but maybe this will help. As you may know, in the first season of TMS the Gonzo puppet had drooping eyelids that made him look sad; he had a despondant personality as well. While shooting the Rich Little ep of TMS, there was a sequence where Gonzo was auditioning dancing chickens, who were all terrible. His performer, Dave Goelz, was goofing around and ad-libbed a line that came out "Nice legs, though". Everybody working on that scene felt that that line tremendously helped form his character.