Watt = Cosgrove Watt, former tennis player turned actor, and one-time muse of James O. Incandenza.
Himself = The nickname given to James O. Incandenza by his children.
Scorsese = Martin Scorsese, heavily-eyebrowed film director of films such as Goodfellas, Raging Bull, but certainly not The Adventures of Rocky and Bullwinkle.
Lynch = David Lynch, director known for Blue Velvet, Twin Peaks and for naming his fists 'Rocky' and 'Bullwinkle' respectively when partaking in drunken bar brawls.
Allen = Woody Allen, famous for writing, directing and starring in nearly every Woody Allen film that has ever been made. Perhaps best known for his controversial relationship with his former adoptive daughter, Soon-Yi Previn, the consummation of which corresponds directly with a sharp decline in his cinematic output. Has no known views on The Adventures of Rocky and Bullwinkle.