Last night marked the last time Letterman was to host the Late Show With David Letterman after 30 years at the helm.
Murray was Letterman’s first guest on the show, and they decided to mark the memorable occasion by featuring him on Letterman’s penultimate show.
The actor jumped out of a cake reading “Goodbye, Dave”.
Murray first appeared on the show in 1982 when it was NBC’s Late Night.
Letterman then moved to CBS in 1993 and Murray was his first guest on the new incarnation, Late Show.
Fans on Twitter loved Murray’s cake tribute, with one writing: “Bill Murray did not disappoint in his entrance on his final @Letterman appearance. Awesome!”
Another special treat for Letterman was musician Bob Dylan, who made his first TV appearance in more than 20 years to play on last night’s programme.
Over the years, Letterman’s memorable guests include Joaquin Phoenix in 2009, who announced he was retiring from acting to start a rap career. In 1995 actress Drew Barrymore flashed the talk show host for his birthday, and in 1994 Madonna turned the air blue by swearing profusely while being interviewed.
Letterman’s final show airs tonight on CBS, but no details of final guests have been revealed.