"What am I going to do? Put a dress on for Jimmy [Fallon]? That's creepy. He's like my brother," Fey said. "I'm gonna wear, like, special underwear for James Corden? That's not gonna happen. The next time you'll see me, I'll be playing charades in a slanket."
So to commemorate the special occasion, Fey decided to give David Letterman her last dress as a retirement present right there on stage.
"This is what we do for you," Fey said once she was down to nothing but her bra, Spanx and leotard emblazoned with "Bye Dave!" on the front and "#LastDressEver" on the back.
Watch the actress strip down below.