Thursday David Letterman told of blackmail attempt concerning his sexual relations with staff members.
"I have a little story that I'd like to tell you," Letterman said as he launched into his revelation.
"This morning, I did something I've never done in my life," Letterman told his audience. "I had to go downtown to testify before the grand jury" and "tell them all of the creepy things that I've done."
The 62-year-old funnyman said he received a package three weeks ago from a person who claimed to have information about Letterman's sexual dalliances, ultimately demanding $2 million to prevent public revelation.
Letterman said he went to the Manhattan District Attorney's office, which conducted an investigation and an arrest was made earlier in the day, CNN reports.
New York Daily News quoted Letterman as saying, " This whole thing has been quite scary . I had to tell them how I was disturbed by this. I was scared for my family. I felt menaced by this man."
Then, Letterman added, "I had to tell them all the creepy things I had done."
The audience roared with laughter.
"Now why is that funny?" Letterman asked.
"Now of course we get to what was it was - we get to all the creepy stuff," Letterman said, taking a more serious tone.
"I have had sex with women who work for me on this show," New York Daily News reports.
It was also reported, Letterman's long career has not been without controversy though, as an incident earlier this year involving former vice presidential candidate Sarah Palin showed.
Having made a crude joke about one of her daughters, he was forced to issue an apology for any offence caused.
The lanky comic proved so popular he became the regular stand-in for Johnny Carson, the late-night show's host since 1962, BBC News reports.