Bill Murray takes the cake for final "Letterman" appearance

Bill Murray and David Letterman on the "Late Show," May 19, 2015.

John Paul Filo/CBS

A lot of stars have been stopping by the "Late Show" to bid farewell to David Letterman, but this appearance by Bill Murray....well, you know where we're going with this.

Murray, who was Letterman's first "Late Show" guest way back when, stopped by the show again on Tuesday - and made his entrance by popping out of a giant "Goodbye Dave" cake and giving the host a very messy hug. He also shared some frosting with a few lucky audience members.

Letterman's final episode airs tonight. Watch Murray's cake escapades below, and head here for a list of his other memorable late-night TV moments.