Murray jumped out of a cake to the delight of the Late Show with David Letterman audience at the Ed Sullivan Theatre, smearing some on select audience members as well as the host.
Murray was making his 44th appearance with the late night host, dating back to the debut episode of Late Night with David Letterman on Feb. 1, 1982 on NBC. Murray also welcomed Letterman in his first show after moving to CBS in 1993.
"Any time I'm around you is an exciting day," Letterman enthused, introducing a montage of the comic actor's appearances through the years.
Murray implored Letterman, and the host obliged, to "cannonball" some vodka he brought along for the occasion.
"We just want more, Dave," Murray said, ending the segment outside on the New York streets singing with fans to the tune of Give Peace a Chance, substituting the end of the chorus with "Worldwide Pants," a reference to Letterman's production company.
Bob Dylan, who last appeared on a Letterman show over two decades ago, performed The Night We Called It a Day from his most recent release, Shadows in the Night.
Final show contents a mystery
The Top Ten segment was "Famous Last Words," including such entries as "Thanks for seeing me, Dr. Oz," and "Jack Hanna said it won't bite."
Longtime bandleader Paul Shaffer from Thunder Bay, Ont., drew his own laughs setting up the segment with a jab at Letterman's long-time rival, attributing "I'm bored with it all" to Jay Leno instead of Winston Churchill.
There were two other Canadian content notes — Murray came out to Shaffer and his fellow musicians playing The Band's Chest Fever, while Letterman introduced one segment as "having never been done anywhere ... not even in Germany … not even in Calgary."
Letterman received drop-in visits from frequent guest Regis Philbin as well as Rupert Jee, owner of the local Hello Deli owner who first appeared as a "man on the street" foil in 1994.
Letterman's last Late Show appearance will be on Wednesday, but there are no announced guests. The CBS promo promised "an hour filled with surprises and memorable highlights."
The 68-year-old host gave an indication as to his plans after the final curtain goes up on the show: "Tonight it's Bill Murray, next week I'll be Googling foods that improve prostate health."