David Letterman's last show drew big stars ... who resisted grabbing a remnant of the cake which became a launching pad the night before for Bill Murray.

Dave's sendoff included quite the guest list, including Chris Rock, Jim Carrey, Peyton Manning, Steve Martin, Alec Baldwin, Barbara Walters, Julia Louis-Dreyfus, Jerry Seinfeld, and Tina Fey.

Everyone's been super secretive about the particulars of Dave's final show ... but we do know Letterman gave the staff special jackets embroidered with a 'Thank You' message.  

Not exactly Oprah level ... but still not bad.