NEW YORK (CBSNewYork) -- When Lady Gaga makes an appearance, you never quite know what's going to happen or what fashion statement she'll make.
Stepping out of Roseland Ballroom on Wednesday, the pop star was rocking a giant yellow wig, CBS 2's Jessica Schneider reported.
The New York native walked into the Ed Sullivan Theater to make an offer the "Late Show with David Letterman" audience couldn't refuse, thrilling fans.
"She's like, 'Come on over guys. I'm going to perform.' So we're going," explained Queens resident Vanessa Taylor.
Gaga is in the middle of a seven-night, sold-out homecoming run to close the iconic concert venue, which opened in 1919.
"You can come over and I'll sing some songs," Gaga said to an elated audience.
David Letterman, Lady Gaga and Billy Murray led the crowd across 53rd Street and over to Roseland Ballroom.
"Today, come on, let's go, while we're young. Come on, while we're young. Please move it!" Bill Murray shouted at the crowd as he led the march.
Unsuspecting fans thinking they were simply attending a taping of Letterman's show got a glimpse of a historic goodbye.
"This is so awesome. It's amazing. We're so excited we had no idea! We knew we'd see her but didn't know we were going to the Roseland," one fan said.
The 500-member audience was treated to two performances by Gaga, and the spectacle even converted some skeptical music lovers, Schneider reported.
"I've actually been critical of her, but when you see her show, totally different. She just puts on a great show. Full of energy! Just amazing, amazing!" said Joe Pendergast, of Mercerville, N.J.
"The show was absolutely fabulous, and we've seen some great shows this week, and this was terrific" said Michael Schoenwald, of Del Ray Beach, Fla.
On Monday night, following Gaga's final performance, Roseland Ballroom will close its doors for good.
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