David Letterman

From OAPedia.com

David Letterman is the host of the late night talk show Late Show with David Letterman. Opie and Anthony made their first and, so far, only appearance on the show on August 31, 2006. Their appearance was so good that they were asked to return to the show in the future, but O&A made the mistake of booking an appearance on rival Jay Leno's Tonight Show. They haven't been on Dave's show since.