When Lady Gaga arrives anywhere the only thing you can expect is the unexpected.

And, with TV host David Letterman as her accessory – the Lady that is G showed us all her leather pants, leather jacket and seriously skimpy bra.

Reassuringly,  when the Lady performed for The Late Show with David Letterman crowd on Wednesday evening she managed to keep most of her clothes on – not at all like that time she took her actual knickers off.

But before she even thought about climbing on stage the Born This Way had to greet her little monsters – waving like a practiced professional the sexy lady managed to keep her crazy wig straight and not reveal any side boob – no mean feat.

Lady Gaga arrives at Roseland Ballroom

The singer was being interviewed by the TV host before she invited the entire Late Show audience down the road to the historic Roseland Ballroom where she’s currently performing a string of gigs.

For her performance of Dope the singer was rocking a risque red leotard and little else, while her G.U.Y. stage outfit consisted of a white leotard and leggings. All very tame.

Fans quickly flooded social networks gushing about the star.

“Only GAGA can do this s**t!!!!! amazing performance,” one person wrote.

Lady Gaga walks from Roseland Ballroom to Letterman show in bra, panties and fishnet stockings in NYC

While another said: “Can we talk about how perfect this performance was? Like dammnnnnn.”

Earlier in the night, another one of Letterman’s guests – Bill Murray – made sure he got a selfie with the singer.