Some stories are, for some reason, attributed to Frank Zappa. These are just three of the many I've heard from different people over the years. Legend # 1: Appearance at The Joe Pyne Show show; Pyne who had lost part of a leg due to injuries sustained during WWII was a notorious for his confrontational style interviews:
Pyne: So I guess you long hair makes you a girl.
Zappa: So I guess your wooden leg makes you a table.
A clip of this exchange doesn't exist and neither does proof of Zappa appearing on the show. It's funny, regardless.
When the Montreux Casino theater caught on fire during a Mothers of Invention concert - this would result in Deep Purple's Smoke on the Water - and people started to panic, Zappa supposedly yelled out, "Now everybody just remain calm" then jumped out the window.
Zappa supposedly has said about Bruce Springsteen's guitar playing, "I play the guitar. He only wears it."
Again, no actual accounts could be found. At least I haven't and I've heard these from a few people. Now, if you watch the two following clips, you'd understand why these stories would be associated with him, esp. the one with Letterman.
CNN's Crossfire (1986):
Zappa on Letterman (1983):