...this theater built in 1927 is famous because it is where David Letterman gets up to his shenanigans. However, the theater is so named because in the 1950s through the 1960s it was home to another TV personality who was just as famous: Ed Sullivan and “The Ed Sullivan Show.” Probably most famous now for his infamous introductions of The Beatles and Elvis Presley to middle America. Today, “The Late Show with David Letterman” is filmed inside Monday through Thursdays.