If you have a broadband connection you can download an HD, widescreen copy
of
most recent Late Shows (with the commercials edited out) via bit torrent.

Just use the Search function (search "Letterman") at torrent indexing sites
such as:

Demonoid.com (currently down)
Mininova.org.
Fulldls.com
Torrentz.com

Some of these sites may require free registration to download the torrents,
which may or may not be open when you check.

If you are new to the wonderful world of bit torrenting you will need thebit
torrent software. BitTornado and uTorrent are two popular and simple-to-use
versions. I recommend uTorrent. You can download it here:

http://www.utorrent.com/

Here is a brief step-by-step:

1. Download and install uTorrent.

2. Download the torrent from one of the sites listed above and save it to a
new folder.

3. Go to that new folder and double click on the torrent icon you just put
there.

4. UTorrent will launch. Tell it where to save the show.  The new folder you
just created would be a good place.  Click "OK".

5. Wait.  You can see the progress of your download in the uTorrent window.
How long it will take depends on too many factors to list here.

An excellent guide for bit torrent beginners is at:
http://btfaq.com/serve/cache/1.html.

Here is a list of the top ten most popular torrent sites:
http://comparebt.blogspot.com/

The bit torrent newsgroup is alt.bittorrent.

There are some websites that charge a fee to download the torrents.  But
most do not.  The appeal and popularity of using bit torrent to acquire
content is that it's 100% free.