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Pic caption: David Letterman accompanies Madonna outside Ed Sullivan Theatre after she taped a segment for the 'Late Show With David Letterman.' Letterman and Madonna popped next door for pizza, to the excitement of fans, where they continued their interview with a camera crew. New York City, USA - 30.09.09. . A Slice of Madonna. . Madonna and David Letterman got on so well during a taping of his talk show today, they carried on the interview afterwards in the pizza parlor next door.. As fans gathered outside New York City's Ed Sullivan Theatre for a glimpse of the Queen of Pop they were treated to the sight of both Madonna and Letterman, who left the taping together, strolling past the crowd to the pizza restaurant next door - where they sat down to devour a whole pie between them.. They took a camera crew with them and after clearing the restaurant of customers, the host and his guest were filmed chatting and picking apart the loaded pizza, while fans fought for a view through the window.