“I realized that when you retire, this is it. Like, I’m never gonna wear a fancy dress on a talk show again,” Fey told Letterman. “First of all it’s very hard work. I don’t know if you’re aware of the contraptions under here. It’s almost medical, and I’m terrible in heels.”
“I dress up like this out of respect for you. I really do. But this is it. Am I gonna put a dress on for Jimmy? That’s creepy. He’s like my brother. I’m gonna wear special underwear for James Corden? That’s not gonna happen,” said Fey. “So the next time you see me, I will be playing charades in a slanket.”
So because this was the last time Fey will ever be wearing a fancy dress on a talk show she just went and took it off as Dave looked on in understandable shock.