On the DVD commentary, show Producer Phil Sims said the phrase "Big Day" was an inside joke between him, Associate Producer Joe Furey, and Gerard "Gerry" Mulligan when they worked on Letterman. It involved a story told to them by Mulligan about an eccentric homeless man who would walk around outside of Rockefeller Center just announcing, "Big day!"
While lying on the couch in Dave's office, Beth is reading the then-current issue #2 of Grand Royal, the Beastie Boys' magazine, which featured Lee "Scratch" Perry on its Wheaties box-inspired cover.
Sadly, the "Big Day" referenced in this episode (April 19, 1995) would be the same day the Alfred P. Murrah Federal Building in Oklahoma City, Oklahoma, was bombed. Of course, the writers had no way of knowing what would happen the day after the episode aired.