Lohan: 'Yes,' We Should Know About Petraeus Affair From NBC's Tonight Show DAVID GREGORY: I was surprised. I mean, he’s, look, he’s an amazing military leader. That’s not going to change. This was a terrible mistake. You know, it's one of these situations where do we really want to know all of this? LINDSAY LOHAN: Yes. GREGORY: And I think a lot of people are, yeah, right, you said… LOHAN: Yes, GREGORY: ...do we really want to know these things? LOHAN: Yes, please. GREGORY: You do? Okay. LOHAN: I'd like to know