Photograph : David Letterman - Las Vegas Sun News

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Actor Bill Murray talks with host David Letterman after emerging from a cake to say goodbye Tuesday, May 19, 2015, on the set of “The Late Show With David Letterman” in New York. Letterman’s final show airs Wednesday, May 20, 2015.

John Paul Filo / CBS / AP

Actor Bill Murray talks with host David Letterman after emerging from a cake to say goodbye Tuesday, May 19, 2015, on the set of “The Late Show With David Letterman” in New York. Letterman’s final show airs Wednesday, May 20, 2015.

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