I think it all comes down to comedic preference.
I like Conan not based on his jokes, but the after facial expressions and body gestures he uses to play out the joke. It's hilarious! He has so many facial expressions that it's hard not to enjoy how he reacts to his guests statements, among other things.
It seems that most other late night hosts tell a joke, wait for the audience to react and just use the same expression and move on, IMO. They become bland. I just like the goofiness of Conan. lol.