Here's Dave's 1984 Playboy interview.
PLAYBOY: The first Late Night, with Bill Murray as your guest, established an anything-can-happen-here attitude that you have hung on to. Was that the attitude you wanted to establish or did it just happen?
LETTERMAN: I want viewers to feel that anything can happen on our show. When there's real jeopardy, that's when the fun begins. But that first show might have been just a touch too unstructured.
PLAYBOY: Because of Murray?
LETTERMAN: Yeah. [Laughs, tries to answer but laughs again] When we asked Bill to be on our first show, he said he'd like to do something different: Could he come up to the office and talk with the writers and see what they could come up with together? I said, "Great." So he arrived one afternoon when Merrill and I were out shooting a remote and brought six half-gallon bottles of whatever tequila was on sale, and he and the entire staff proceeded to get shit-faced all afternoon. When I got back, the place was a shambles; everyone was dangerously drunk; all the lamps were hidden, because Bill had convinced them that the fluorescent lights were draining their vitamin E; nothing had been written; and the only explanation I could get out of anyone was "Bill was here." And when we did go on the air, Bill didn't want to do any of the things we had finally gotten around to preparing. Instead, he had a sudden urge to sing Let's Get Physical and do aerobics. So he did. And it was very funny.
PLAYBOY: Do you have an all-time favorite stupid pet trick?
LETTERMAN: That would have to be the guy who trained his dog to go to the 7-Eleven store with a ten-dollar bill in a rubber band around its paw. The dog would pull a six-pack out of the freezer and put it on the counter. The cashier would take the money, put the beer and the change in a bag, and the dog would carry the bag home in its mouth.
PLAYBOY: One of your regular guests, Andy Kaufman, passed away this year. Be honest: When you first heard about his illness, did you think it was a prank?
LETTERMAN: Yes, and so did the people who told me about it. Even after he was gone, people were saying, "Is Andy Kaufman really dead?" As sick as that sounds, I think that in a peculiar way, it's a tribute to Andy's unique talent. I think exaggerated eulogies are in poor taste, so I'm not going to pretend to have considered Andy America's best value for your entertainment dollar just because he's gone. But he was one of my favorite guests and we had him on the show as often as we could get him, because I think it's important to have guests who annoy the public. It feels good to scream at the TV once in a while, to go to work the next day and tell everyone how annoyed you are. Andy was a real showman. And he was unique.
You'll find tons of old Letterman interviews, articles, and photos here.