The final week of The Late Show is here, and Stephen Colbert is marking the occasion by taking a trip down memory lane, highlighting some of the worst ideas that never made it to air.

The Late Show with Stephen Colbert ends its run on Thursday night.

“Now it’s, in my opinion, the best broadcast space in New York City. And the fact that nothing’s going to come in here breaks my heart,” Colbert, 62, said during a set tour for Architectural Digest on...