In his first "Late Show" monologue since news broke of a Jihadist threat on his life, David Letterman reacts to the fatwa telling the audience: "Tonight, you people are more, to me, honestly, than an audience—you're more like a human shield."

Then he apologized for having been tardy coming out onstage.

He joked, "Backstage, I was talking to the guy from CBS. We were going through the CBS life insurance policy to see if I was covered for jihad."