WATCH: Fallon, Letterman perform without audiences

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Not even tropical storm force winds could keep a couple of New York-based comedians down.

"Late Night" host Jimmy Fallon opened his show on the 50th Street in New York City. Speaking through a rain-splattered camera, Fallon introduced his guests on his walk to the studio at 30 Rockefeller Center.

"There's no audience tonight so you are the audience. Imagine laughter, imagine fun, imagine excitement," Fallon asked in the 30 Rock elevator.

"Please keep it down," the "Late Night" host joked to laughs from the only audience members -- his crew and house band, The Roots.

"The show must go own," The Roots' Questlove tweeted later.

David Letterman went by a similar philosophy, jumping on stage for a chat with his band leader, Paul Shaffer.

"We're in the middle of Hurricane Sandy and we have no studio audience but we do have quite a show for you tonight," Letterman began his show. "Thank you for joining us in the Ed Sullivan Shelter."

The "Late Show" ran quickly through the rest of his opening monologue from his desk. "I think I hear people banging from the door of the theater demanding to come in," he joked.