David Letterman's favorite band is the Foo Fighters.

The band was the late night host's final musical guest when he said goodbye on Wednesday night.

(See the performance in the last video on the page.)

Foo Fighters was the third announced "final musical guest" of Letterman's. Eddie Vedder performed Monday night and was originally announced as Letterman's "final musical guest." Then, Bob Dylan showed up on Tuesday night.

Foo Fighters spent a week with Letterman to promote their Sonic Highways album late in 2014. During the band's residency, Letterman told a story about being a father. Letterman went skiing with his son and the instructor took some video.

The instructor sent Dave the video. The bed music was Foo Fighters' song Miracle.

See that story and song below.

Back in 2000, Dave Letterman underwent emergency quintuple bypass surgery. The ordeal sidelined the host for five weeks.

Letterman asked Foo Fighters to play his first post-surgery show. He wanted them to play his favorite song.

They did.

On Wednesday night, they played Dave Letterman's favorite song again. A very well dressed Foo Fighters performed Everlong to clips from Letterman's late night career. The clips go back to his NBC days in the 1980's and we see everybody. Jay Leno and Johnny Carson are in the clips. We see the announcement of the birth of his child, Warren Zevon, his doctors from his surgery, presidents, and just about every celebrity from the past thirty years.

Photo: Getty Images