The entire bit is him telling one joke about how he almost fell earlier that day, but includes many other jokes.
Via a Vice Magazine blog post ft an interview with Hannibal Buress where he talks about the importance of an entrance.
Bill Cosby did Letterman in January, a few days after me and I watched his entrance and realized how corny I looked in comparison when I walked out onto the stage. It’s so great. He picked a great high energy song. He interacts with the band and owns the stage before he says one joke. I’ve watched this entrance way more times than I should have.