Oprah Winfrey finally deigned to be on Letterman last night. With Tony Danza standing by in the wings as “backup host” Dave gave Oprah a setup and welcome worthy of her 16 year absence. Paul Shaffer even added a tympani for the night to drumroll her introduction. On his very best behavior, Dave concentrated on serious questions, allaying any fears Oprah had that she would be the focus of juvenile jokes and then gallantly escorted her across the street to the Broadway premiere of “The Color Purple.”