A legend like David Letterman has to go out with a bang and what better way to say goodbye than to bring out one of the most legendary artists in the history of music for your second to last show? Bob Dylan is the last officially announced musical guest Late Show will ever have (although tonight’s show may have some surprises), appearing at the Ed Sullivan Theater for the first time in 22 years.

Amusingly enough, right after telling his story about the two teachings he wants his son to remember in life (one of them was that Dylan is the greatest songwriters of modern times), Bob went on to sing a song that wasn’t his. The melancholy “The Night We Called It a Day” belongs to Frank Sinatra and continued the mood of Dave’s final week. For those that weren’t aware, the track is taken from Dylan’s latest effort Shadows in the Night, which is a Sinatra tribute album.

Watch the musical legend’s rare appearance on TV above.

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