Well, he's conservative on the 2nd Amendment. At his home on the Chesapeake Bay he has an indoor shooting range and when you drive up the road to the house there's a tank sitting at the top of the hill.
(I was a gopher for a while and drove someone out to his house.)
Clancy transcript from O'Reilly Factor:
Clancy: I think so. The political left, they deal in symbols rather than reality. The general difference between conservatives and liberals is that liberals like pretty pictures and conservatives like to build bridges that people can drive across. And conservatives are indeed conservative because if the bridge falls down then people die, whereas the liberals figure, we can always build a nice memorial and make people forget it ever happened and was our fault. They're very good at making people forget it was their fault. Allright? The CIA was gutted by people on the political left who don't like Intelligence operations... and as a result of that, as an indirect result of that, we lost 5,000 citizens last week.
Safe to say, he's a conservative.