Thomas made annual Christmas appearances on David Letterman's CBS late night show, beginning in December, 1998. Letterman and one of his other guests that evening, then-New York Jets quarterback Vinny Testaverde, took turns throwing footballs trying to knock a large meatball off the top of a Christmas tree at the other end of the stage. As the two took turns futilely attempting to knock off the meatball, Thomas came back out to join in the festivities, and promptly knocked the meatball from the tree on his first throw. Beginning on a subsequent visit to Letterman's show, Thomas told a story about when he was a young disc jockey at WAYS610 AM in Charlotte, North Carolina. Thomas had been making a promotional appearance at a local Dodge dealership which had also booked a personal appearance by Clayton Moore, dressed in his Lone Ranger costume. According to the story, after the broadcast ended and the crowd left, Thomas and his colleague Mike Martin, both clad in the hip fashion of the day, go off and secretly "get herbed-up" behind a dumpster. When they return to pack up their equipment, they discover that Moore is still there, as the car that was supposed to drive him to his hotel never arrived; Thomas then offers Moore a ride in his own car, an old Volvo, which Moore accepts. While stuck in traffic, with Moore sitting quietly in the back seat, an impatient, middle-aged man backs his full-sized Buick into the front end of Thomas' compact Volvo breaking one of his headlights, and then drives off. An angry Thomas chases the Buick through heavy traffic, forgetting all about Moore still sitting quietly in his back seat; Thomas finally catches up to the man, blocks his way with the Volvo and confronts him about the broken headlight. The indignant driver denies all; when Thomas threatens to call police, the man exclaims " Who do you think they'll believe? Me, or you two hippie freaks?" At that moment, Moore, still in costume as the Lone Ranger, steps out of the Volvo and says to the man, "They'll believe me, citizen!" The man, incredulous, exclaims "I didn't know it was you!" For every year thereafter except 2013, Thomas appeared to repeat the Lone Ranger story, which Letterman called "The best talk show story, ever" and once again attempt what Letterman would refer to as the "Late Show Quarterback Challenge". For his final appearance in 2014, Thomas was again successful in knocking the meatball off the top of the tree. Thomas missed the 2013 Late Show Christmas episode due to throat surgery; John McEnroe took his place and told the Lone Ranger story, then tried, unsuccessfully, to knock the meatball off the tree by hitting tennis balls at it.
Thomas fathered J. T. Harding in an out-of-wedlock relationship, and the child was adopted by another family in Michigan. Thomas and his son spoke about their reunion on the Dr. Phil Show. Harding was the lead singer of the band JTX and is a country music songwriter. Thomas married Sally Michelson in 1987. They had two sons, Samuel and Jacob. Jay Thomas died of throat cancer on August 24, 2017, in Santa Barbara, California, at the age of 69.
