But outside, chaos reigned, as an underground transformer exploded just a block away from the show.
"I was over there; the show taped normally," said Letterman spokesman Tom Keaney. "But man, the chaos outside."
Above, the scene on Broadway, near the theatre. And below, firemen hose down West 52nd street. Both pics via "The Late Show's" Twitpic account.
We're checking to see if Jay Leno was spotted Tuesday in New York.