If you haven't heard, Late Night with Conan O'Brien is coming to town. His show will be filming at the Orpheum Theatre from April 30 to May 4th. You can find more details through this link.
I've only been to one television show taping in my life. It was back in the 80's when I went to a trip to LA. The show I was lucky to see: Gimme a Break. Yeah, I don't remember much about the episode that was taped. All I can recall is that it was well rehearsed and pretty much lasted 20 or so minutes.