UPDATE: I just spoke to Letterman’s producer Rob Burnett who says: “When we were talking about what it should be in very early conversations, we talked about the notion of Conan being involved in it in some way. I made an initial call to [Conan's producer] Jeff Ross, who said they had too much going on to consider it…” Conan and Leno on the same set? Priceless. But I bet NBC would never have allowed Jay to participate, especially now that the network is removing all memory of O’Brien working there.
News reports say the spot was shot upstairs at the Letterman show’s Ed Sullivan Theater where Leno had to sneak in wearing a disguise (hooded sweatshirt, glasses, fake mustache). It was Dave’s idea to do the ad and he wrote the bit, which echoed a similar spot he did when CBS last aired the Super Bowl in 2007. That one involved only Dave and Oprah. Winfrey said OK to this bit immediately. But the NBC suits had to agree to it before Jay could participate. They wound up flying him in on the corporate jet: