BILL MURRAY showed up at a minor league baseball game last Thursday night . . . and did some quirky stuff, in typical Bill Murray fashion.

Bill took tickets at the gate, while wearing a floral print shirt and a bucket hat.  Then, he caught the ceremonial first pitch . . . and heaved the ball into the stands.  He also posed for photos with some fans.

As cool as this sounds, it isn't entirely random.  The team is the St. Paul Saints . . . and Bill is actually a part owner.  They were celebrating the Saints' last game at the stadium they've been playing at for over 20 years.

They're moving to a new stadium downtown next year.