IF ANYTHING COULD EVER BE THIS GOOD AGAIN: I don't have anything unique I can say about Letterman's retirement, or his last show; his impact on comedy and our culture is something we all just know in our bones. (I also have trouble getting past the creepy stuff with women, which can't be skipped over easily.)
I'll just link to Warren Zevon's final appearance on the show -- not even the performances, just the first part of the interview from October 30, 2002. It's those rare moments of sincerity from Letterman I'll remember most. Dayenu.