"And also, in light of all this praise, merited or not, do me a favour, save a little for my funeral."

Self-deprecating to the bittersweet end, David Letterman said goodbye to television after 33 years on Wednesday night, in a star-studded finale of The Late Show which showcased highlights of his iconic career but never strayed into overly saccharine territory, just like the man himself.

The sometimes-curmudgeonly host, a dogged survivor in the ultra competitive world of late night television, quipped on Wednesday that he knew it was time to retire when Todd, the kid who hand writes his cue cards, told him "For the love of God, I can't write the words any bigger."

Letterman, 68, will be replaced by Stephen Colbert, who starts in September.

Tina Fey, Bill Murray, Steve Martin and Barbara Walters were among the celebrities who made one last trip to the Ed Sullivan Theatre on Broadway in New York City for the final episode of Letterman's The Late Show, taking turns to deliver one last Top Ten list, in the style of the host.

Kicking off the top things they'd "always wanted to say to David Letterman", Alec Baldwin said: "Of all the talk shows yours is the most geographically convenient to my home."

"Your extensive plastic surgery was a necessity and a mistake," quipped Steve Martin.

"Dave, I have no idea what I'll do when you go off the air... I just thought of something, I'll be fine," said Jerry Seinfeld, before his former Seinfeld co-star Julia Louis-Dreyfus came out and said: "thanks for letting me take part in another hugely disappointing series finale."

Chris Rock said "I'm just glad your show is being given to another white guy", and Tina Fey delivered the killer line "thanks for finally proving men can be funny."

The number one spot was given to Bill Murray, the first ever guest on Letterman's show back in 1982. "I'll never have the money I owe you," he said.

But celebrities didn't dominate the show. There was a candid look at the day in the life of Letterman, and a look back at some of the sketches with regular folk that always balanced out the show. This included a montage of his best segments chatting to kids, which were silly, but not cutesy.

"What's my favourite food?" he asked one little boy, before whispering "pie" in the kid's ear. "Pie!" the boy shouts triumphantly.

"Meatloaf" states Letterman, apologetically.

Musical guest Foo Fighters played Everlong to close out the show, the same song they played on his return show in 2000 after heart surgery.

"My favourite band playing my favourite song," is how he introduced them back then.

The band burst into the song on Wednesday night as a manic montage of memorable moments flashed across the screen.

"I wonder, if everything could ever feel this real forever, if anything could ever be this good again," sang Dave Grohl.

The format and guests appearing on the final show had been a closely guarded secret, and a crowd of die-hard fans spent the afternoon outside the theatre watching big black SUVs pull up outside to disgorge the celebrities, and to witness a moment in television history.

Louise Luger, a New Yorker who had arrived at the Ed Sullivan Theatre at noon hoping to get a ticket but missed out, stayed anyway and saw the stars enter throughout the afternoon. She planned to remain there, just off the corner of 53rd Street and Broadway, two cameras strapped around her neck, until the final show was over.

"He's brilliant, he's funny, he's one of a kind," Luger, a fan of Letterman's for all 33 years, said. "He won't be replaced. We think he's going too young."

Letterman was a New York icon as much as he was a comic one. The city was a part of his show: the fake bridges sat behind him each night on the set, and he regularly sent his cameras out on to the streets, or brought the locals in. Rupert Gee, the owner of the Hello Deli, which sits next door to the studio, became a local celebrity, appearing on the show regularly.

"He makes New York the neighbourhood," said Luger. "He highlights how we are here."

The city's mayor Bill de Blasio posted a video online declaring Wednesday "Late Show with David Letterman Day", while New York Governor Andrew Cuomo reposted his own Top Ten list, of reasons why Letterman was a New York legend.

"He never left the Empire State for that other coast" was one reason. "He helped New York heal by being the first late night talk show host to come back on the air after September 11, 2001," was another.

Letterman began hosting Late Night on NBC in 1982, and many assumed he would take over The Tonight Show from Johnny Carson when the television legend retired in 1992. But the job famously went to Jay Leno, and Letterman moved to CBS to start the Late Show instead. He stuck it out through the rise of rivals like Leno, and more recently, Jimmy Fallon, who frequently bested him in the ratings. In 2009, he was forced to admit to a number of affairs with younger women on his own staff, following an extortion attempt.

His interviewing style with young women often raised eyebrows - complimenting young actresses on their legs or their smell. Gawker this week describing this technique as either "creepy lechery or benign flirting", depending on your point of view.

Unlike the more recent crop of hosts like Fallon, Letterman often seemed downright uninterested in many aspects of show business, and frequently niggled at stars in his interviews.

"His manner suggested that TV could puncture the culture, rather than prop it up," observed the New Yorker's Emily Nussbaum earlier this month.

But he had no trouble bringing out the big names for his final weeks.

Murray, who was the first guest on his first night as a talk show host back in 1982 (see video below), appeared on the penultimate episode on Tuesday as well, jumping out of a cake and giving the host a creamy embrace. Oprah Winfrey, Julia Roberts, Bob Dylan and Tom Hanks also stopped by to pay their respects and have a last laugh in that final week.

Jimmy Kimmel, host of rival show Jimmy Kimmel Live, fought back tears through much of his monologue on Tuesday as he recalled his obsession with Letterman's show during his own adolescence, right down to the "L8 Nite" number plates he had on his car.

"Watching Late Night, not only did I learn how to do everything from Dave, the reason I have this show is because the executives at ABC saw me when I was a guest on Dave's show and hired me... so I want to thank Dave…." he said, choking back tears.

Kimmel did not air a live episode on Wednesday night, and urged his viewers to watch Letterman instead, especially the younger ones who hadn't watched before.

"Dave is the best and you should see him," he said.