David Letterman's former band leader recalled Bill Murray singing. "This was the first show ever; we didn’t know what was going to happen," Shaffer tells Vulture in commemorating Late Night's 40th anniversary. "Billy came to the office in the early afternoon to kick some ideas around with the writers for what he might do on the show. When I saw him, he had finished this meeting and said, 'I want to do "Let’s Get Physical" and get into some kind of aerobics routine. Not sure how yet.' I said, 'Do you want to try to work it out?' 'No, I gotta go feed my dog.' And he left. He didn’t get back until the taping had already started. With the band — my brand-new personal quartet — we learn 'Let’s Get Physical' and don’t really know what we’re doing. And he really just improvised that whole scene — had never sung it before, never sung it with the band. That was our first show. I said, 'My God, you’ve really got to be loose with this show.' That never changed." As for how Late Night differed from Late Show, Shaffer says: "There was a lot of experimentation. Sometimes it bombed, sometimes successful. But the feeling was: We have license here to try anything. Who is watching?When we moved to 11:30, in line with that, the feeling was: People are watching. The show may have gotten a little bit safer. You didn’t want to get involved with something that wasn’t going to be successful or funny. I was expected to keep up with the change, too: get a bigger band, look like more of a presentation. The four-piece just wasn’t going to cut it anymore." ALSO: David Letterman learned of Late Night's 40th anniversary when he was invited on tonight's Late Night with Seth Meyers.