An unexpected thrill for the jaded audience on hand for the tenth anniversary gala of Nolan MacDougall's musical The Last Laugh: When jealous Wesley Fisk shoots leading man Conor Matthews in the last act, the bullets are real. New York's finest take leading lady Kellie Farrell, whose engagement to Matthews didn't prevent her from warming Fisk's sheets, for the perp. But Fisk has an equally strong motive, too, as do Matthews's understudy Jonathan Patrelli, hungry for his own chance on the Great White Way, and Matthews's predecessor Beau Walton, whose defection to Hollywood has been such a thumping failure that he'd love to be back in the cast. Luckily, towering over all these petty puppets is that paragon of big-city mayors, Ed Koch, who's unfailingly caring, sincere, considerate of his many underlings, and a whiz of an amateur sleuth, with a gimlet eye for everybody's vanities but his own. ``When I'm wrong, I'm always willing to admit it,'' says Koch, but he never has to admit it, because the police are even more baffled by the slender mystery than he is. Coauthor Staub, batting for Herbert Resnicow (Murder at City Hall, 1995), doesn't bring much to the party, so the field is wide open for Koch's inimitably self-aggrandizing charm. Your move.