Watch Tina Fey Strip for David Letterman

Tina Fey made her final appearance on Late Show with David Lettermanon Thursday and vowed never to wear a fancy dress on a talk show again.

"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

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