Foo Fighters, David Letterman‘s favorite band, will serve as the final musical guest when the late-night host bids farewell to Late Show on Wednesday night. Letterman and Dave Grohl’s band have shared a unique bond the past 15 years. In addition to frequenting the program, Foo Fighters also staged a weeklong residency on Late Show in October 2014 to celebrate their new album/HBO travelogue Sonic Highways. During the Foo Fighters’ star-studded Late Show residency, Letterman shared a poignant story about how one Foo track soundtracked a major moment in his fatherhood. “Years and years and years ago when I became a father, I recognized I was older than most fathers, and so did my son. And so I said I have to find something I can do with my son and we can do it together,” Letterman said. He then took his son skiing in the mountains of Montana, and on the last day of the trip, their ski instructor filmed Letterman and his son skiing down the mountain.