Last night on Late Night, Melissa McCarthy confessed she’s a teeny bit “less freaked out†about her SNL gig on April 6, but she’s still blushing over her cluelessness as to the cast and crew who might have seen her in just her underwear last time around. Plus: Elisabeth Moss recounted that strange chat with David Lynch in which he wouldn’t stop calling her Peggy, and asking how Joan’s holding up — even continuing the reverse Method act over a post-cocktail email. Also, Eva Longoria, after her stint at the 2012 Democratic National Convention, has learned that Washington D.C. is a lot sleazier and meaner than Hollywood; and Macklemore performed “Can’t Hold Us.†Watch our compilation to see what you missed.