Conan O'Brien stopped by 'The Late Show' last Friday, a place he's very familiar with, and told a story about David Letterman giving him a horse as a thank you gift. I found the story to be quite hilarious but Conan did seem a bit out of his element. Which makes sense because he's used to being the host, not the one being interviewed.
Here's that segment from 'The Late Show with Stephen Colbert':
Fast forward to last night when David Letterman stopped by 'Jimmy Kimmel Live' to talk about his new show on Netflix. While there, he gave his side of the story!