"I dress up like this out of respect for you," Fey said. "What, am I going to put on a dress for Jimmy [Fallon]? That's creepy. He's like my brother. What, I'm going to wear special underwear for James Corden?”
Fey continued, “My gift to you is I want to give you the dress, so you can keep it.”
Letterman left his desk to help Fey unzip her dress, revealing she was wearing a special pair of Spanx. The front read "Bye Dave," and when she turned around to show her backside, it said "#LastDressEver."
Letterman’s last "Late Show" airs May 20.