I heard he is making a mocumentory with Casey Affleck.. and that this is all part of it. who knows...but I do like him as an actor.. Same way we all liked Tom Cruise in Top Gun, Days of Thunder etcc.
At the end of the skit on Letterman, you can see him take off his glasses, turn to Letterman and shake his hand. If you listen closely, at about this time, Phoenix seems to say "good job" to Letterman. This is most definitely a skit.
I read about him and Casey doing a Mocumentary on how far Hollywood stars could push the limit strictly because they are Hollywood. If this is the case he is brilliant.