I think my favorite memory is him hiding in a closet to listen to phone conversations between executives in Late Shift.
I won't repeat my Carson is Jesus soliloquy here; My favorite memories of Leno are the (now) two times I've heard he's being replaced. At least, nobody could be worse.
The Bill Hicks' routine where he fantasizes about Leno blowing his "Dorito-shilling head" off after another appearance by Joey Lawrence. http://youtu.be/CkzvwDnjM30 "His brain splew out, forming an NBC peacock on the wall behind him. Because he's a company man to the bitter end." He was also in "American Hot Wax."
I don't quite get the hate for Leno. Admittedly, I probably watch him for about 5 minutes every year (the only late night stuff I watch is the stuff that makes it out onto the internets and is recommended by friends), but I usually found him good for a soft chuckle. Letterman's really been too caustic the last five or ten years for my tastes.
The time where he made a simplistic joke aimed right at the middle and then after delivering the limp punch line proceeded to explain the joke for the two or three people watching who couldn't understand.
I consider Jimmy Fallon to be worse. At least Leno was once funny. The only late night people I find interesting are Craig Ferguson and Colbert.
Hey, I saw that one too! What are the odds?