The season finale ( last episode ) included the announcement of the winner and a live reunion of all the season 's players at the Ed Sullivan Theater in New York City , on David Letterman 's Late Show stage which was decorated to look like the set in the Amazon . The season finale including the announcement of the winner and a live reunion of all the season 's contestants at the Ed Sullivan Theater in New York City , on David Letterman 's Late Show stage which was decorated to look like the set in the Amazon .