David Letterman speaks at SeriousFun Children's Network's New York City Gala at Avery Fisher Hall, Lincoln Center on March 2, 2015, in New York.

Bill Murray, covered in cake and frosting, chats with David Letterman during Murray's final appearance on "Late Show", May 19, 2015. Murray, who arrived inside a cake, is the final interview guest for Letterman since none took place during the last show May 20, 2015.

Murray was the first guest when Letterman debuted on NBC in 1982 and the first guest when "Late Show" launched on CBS in 1993. In his previous appearances, Murray came on stage as Liberace, a dumpster diver, and a waterskiing George Clooney among many incarnations.

David Letterman is seen on "The Late Show with David Letterman" in this 2014 photo.

Lady Gaga invites "Late Show" surprise guest Bill Murray, David Letterman and the entire "Late Show" audience over to the Roseland Ballroom for a special performance, which was be broadcast on "The Late Show with David Letterman" on April 2, 2014.

Actress Lindsay Lohan talks to David Letterman about her upcoming trip to rehab, her guest star roles in the series "Anger Management" and film "Scary Movie 5" on "The Late Show with David Letterman" on April 9, 2013.

David Letterman attends the Kennedy Center Honors reception at the White House on Dec. 2, 2012 in Washington. The Kennedy Center Honors recognized seven individuals -- Buddy Guy, Dustin Hoffman, David Letterman, Natalia Makarova, John Paul Jones, Jimmy Page, and Robert Plant -- for their lifetime contributions to American culture through the performing arts.

President Barack Obama is pictured with host David Letterman during a break at a taping of CBS' "The Late Show with David Letterman," Monday, Sept. 21, 2009, at the Ed Sullivan Theater in New York.

Former British Prime Minister Tony Blair, left, smiles with David Letterman during a taping of the "Late Show" on Sept. 8, 2009.

Paul McCartney, left, and David Letterman smile during a taping of the "Late Show," Wednesday, July 15, 2009. After the interview, McCartney played an outdoor concert atop the roof of the Ed Sullivan Theater.

Julia Roberts laughs as she holds host David Letterman's hand on the set of the "Late Show with David Letterman," Tuesday, June 9, 2009, in New York.

Actor Robin Williams, left, enjoys a hearty laugh while exchanging heart surgery stories with host David Letterman on the set of "The Late Show with David Letterman," May 13, 2009, in New York.

Paris Hilton laughs with host David Letterman on the set of "The Late Show with David Letterman" on Sept. 25, 2008, in New York.

Former President Bill Clinton, left, talks to host David Letterman about his new book "Giving: How Each of Us Can Change the World," during his fourth appearance on the Late Show with David Letterman, Tuesday, Sept. 4, 2007, in New York.

Pop singer Britney Spears shares a laugh with host David Letterman on the set of "The Late Show with David Letterman" May 9, 2006, in New York. Spears announced on the show that she and then-husband Kevin Federline were expecting their second child.

Tom Cruise shares a laugh with David Letterman on June 23, 2005, in New York. Cruise was promoting the film "War of the Worlds."

David Letterman pays tribute to Johnny Carson onstage at the 57th Annual Emmy Awards on Sept. 18, 2005, in Los Angeles.

David Letterman poses on the set of the "Late Show with David Letterman" on June 8, 2005.

Actor and comedian Jim Carrey clowns around as David Letterman listens during taping for his show Dec. 13, 2004, in New York.

Singer Courtney Love flashes David Letterman while standing on his desk during the taping of "The Late Show with David Letterman," March 17, 2004, in New York. Actress Drew Barrymore pulled a similar stunt back in 1995, flashing her breasts to Letterman after finding out it was his birthday.

In this 2004 photo, actress Farrah Fawcett jokes with David Letterman during a taping of "Late Show with David Letterman" in New York.

Actress Jennifer Aniston shares a moment with David Letterman during the taping of "The Late Show with David Letterman," Jan. 5, 2004, in New York.

Actor Steve Martin feigns sleep after asking Letterman to tell him about his new baby on Dec. 22, 2003. Letterman and longtime girlfriend Regina Lasko had a son, Harry Joseph, on Nov. 3, 2003. Letterman and Lasko, who began dating in 1986, wed in March 2009.

Then-Republican presidential candidate and Texas Gov. George W. Bush poses with David Letterman after taping of the "Late Show" on Oct. 19, 2000. The future president read a Top Ten list that poked fun at what he might do if elected.

Democratic presidential candidate and then-U.S. vice president Al Gore poses with David Letterman after taping his show on Sept. 14, 2000.

David Letterman hosts his first episode of the "Late Show" after undergoing heart surgery on Feb. 18, 2000.

David Letterman appears on "The Tonight Show Starring Johnny Carson" on Aug. 31, 1991.

Johnny Carson appears on "Late Night with David Letterman" on May 23, 1991. Letterman hosted the program from 1982-1993, when he moved to the "Late Show" on CBS.