Jay Leno is saying goodbye to "The Tonight Show" after almost 20 years, and he's opening up to ET about stepping down from the show, and turning it over to new host Conan O'Brien.

"I'm glad that it's going to Conan; it couldn't go to a better person. I mean he's the guy and we're friends and it's a really smooth transition. And I think it'll be a lot of fun," Jay told ET.

"'The Tonight Show' is sort of the America's Cup of television and you don't want to be the guy to screw it up," Jay told ET, continuing, "And I'm thrilled that we've been able to remain number one for almost -- with the exception of the first year or so that we went up against [David Letterman] -- we've been number one since then."

"I'm glad we're going out as number one," Jay went on to say. "When I hand [the show] off to Conan it's like here you go -- I left it in exactly the shape, you know, so when you bring the rent-a-car back and there's no dents in it, you got a full tank, oh you're happy; you feel good about it," he explained.

Reflecting back on his years on the show, he said that one of the most emotional interviews he ever did was with John F. Kennedy Jr. Jay explained that it was so poignant for him because it reminded Jay of JFK's, and his own mother's devastated reaction.

"I remember sitting in the living room of my parent's house and watching the funeral on TV," Jay said. "And my mother just crying hysterically. And I remember when they showed little John-John, little John Kennedy in that outfit sort of saluting the casket and whatnot. My mother just -- and when you're a kid and your mom is crying it's just like, 'Oh my God, this is like an unnatural thing.' And I didn't know what to do. I was totally lost."

In terms of the highlights of doing "The Tonight Show," Jay explained that he loved testing out jokes on the show, as opposed to trying them out on the national comedy club circuit: "The fun thing about 'The Tonight Show' is, something happens, you write the joke, and you run onstage -- it's like fresh-squeezed orange juice. There's the vine, here's the juicer, and then you get it, right in the same day. It's fantastic. And that, to me, has been the most fun."