Watch Tina Fey strip down for final David Letterman appearance

Some of the world's biggest names have been stopping by The Late Show With David Letterman as he prepares to go into retirement in late May. While President Obama's appearance last week was memorable with his touching words, nothing tops Tina Fey's guest spot on the show Thursday.

The former 30 Rock star waved to fans and posed for the cameras showing off her slender figure in a curve-hugging blue dress with black detailing. But, once on air, the 44-year-old revealed how uncomfortable she was in the frock.

She explained how the famous talk show host doesn't understand how much work it is to wear a dress. "First of all it's very hard work," she said. "I don't know if you're aware of the contraptions under here. It's almost medical, and I'm terrible in heels." She admitted the only reason she dresses up was out of respect for the legend. “What am I gonna do, put on a dress for Jimmy [Fallon]? That’s creepy," Tina joked. "He’s like my brother. I'm gonna wear special underwear for James Corden? That's not gonna happen. So the next time you see me, I will be playing charades in a slanket."

Tina, who has made over 20 appearances on the show, announced that she is officially done dressing up for talk shows. “I’m never gonna wear another fancy dress on a talk show again,” she said. “My gift to you is I wanna give you the dress.” The actress proceeds to ask Dave to help her remove the dress revealing layers of Spanx and a leotard that read "Bye Dave" on the front and "#LastDressEver" on the back.The host was stunned at Tina's "gift," saying “Oh, my God,” “For heaven’s sakes,” and “God bless you dear.”

Dave retires on May 20 after 33 years in late-night television.