Bill Murray visits David Letterman's 'Late Show' for the last time (12 images)

Bill Murray is surrounded by audience members on Broadway on the eve of the final "Late Show," with David Letterman at The Ed Sullivan Theater in New York City on May 19, 2015. Murray was Letterman's first guest when he appeared with Letterman in 1982 on NBC's "Late Night." Murray did the same thing a decade later when he was the first guest on the "Late Show" after Letterman moved to CBS in 1993. Photo by John Angelillo/UPI

Bill Murray is surrounded by audience members on Broadway on the eve of the final "Late Show," with David Letterman at The Ed Sullivan Theater in New York City on May 19, 2015. Murray was Letterman's first guest when he appeared with Letterman in 1982 on NBC's "Late Night." Murray did the same thing a decade later when he was the first guest on the "Late Show" after Letterman moved to CBS in 1993. Photo by John Angelillo/UPI

Bill Murray is surrounded by audience members on Broadway on the eve of the final "Late Show," with David Letterman at The Ed Sullivan Theater in New York City on May 19, 2015. Murray was Letterman's first guest when he appeared with Letterman in 1982 on NBC's "Late Night." Murray did the same thing a decade later when he was the first guest on the "Late Show" after Letterman moved to CBS in 1993. Photo by John Angelillo/UPI

Fans gather outside of the entrance on the eve of the final "Late Show," with David Letterman at The Ed Sullivan Theater in New York City on May 19, 2015. Bill Murray was Letterman's first guest when he appeared with Letterman in 1982 on NBC's "Late Night." Murray did the same thing a decade later when he was the first guest on the "Late Show" after Letterman moved to CBS in 1993. Photo by John Angelillo/UPI