The comic actor was the first guest on the chat show 20 years ago and he returned to the program in style to help celebrate its two-decade milestone.
He arrived onstage in a white vintage Rolls-Royce below a sign written in script lettering that reads "Billy."
Wearing a white Liberace-style outfit, complete with a cape, and carrying a white toy poodle, Murray was helped out of the car by a young, blonde man, wearing a gold-and-white chauffeur uniform.
"Wow, that was wonderful, Bill," Letterman said, giving Murray a standing ovation. "Wow. Delightful. ... I didn't know you had a dog."
"I had to get something that went with this outfit," Murray quipped.
"Well, you really have -- my heart has now taken flight," Letterman joked.
"Thank you, Dave," Murray said.
"You know, I love you, audience. I love you, but I don't have time tonight, 'cause I'm only here for one reason," Murray added, pointing to Letterman.
"Oh, that's very special," Letterman said.
DISCUSS AND COMMENT ON THIS STORY Reality TV World now offers Facebook Comments on our stories. To post a comment, log into Facebook and then 'Add' your comment. To report spam or abuse, click the 'X' in the upper right corner of the comment box.