Well, there's a first and second tier (my terminology) of late-night shows. Letterman's show (The Late Show) and The Tonight Show, currently being fought over by Leno and O'Brien, are the first-tier shows. They start at 11:35PM (on the East and West coasts) and last until 12:30AM. Then there's a second-tier of shows that start at 12:30AM and run until 1:30AM. These tend to be geared at people who are likely to be up late: namely, college students. They tend to be more offbeat and subversive in comparison to the more conservative 11:35 shows. NBC actually has a third program that runs from 1:30 to 2:30.

It's notable that Letterman's show was the 12:30-1:30AM show after The Tonight Show when Johnny Carson was the host there. When he got passed over by NBC for the hosting duties, he defected to CBS in direct competition with his former lead-in show. Conan was then hired by NBC to run Letterman's old show. Leno did not have a late, late, show; he was the regular "guest host" during the end of Carson's stint on The Tonight Show. Carson had entered into a phase of pre-retirement and had Leno do one show a week.