I'm a big Conan fan so I feel like I have to post here.
IIRC, Jay said he was retiring then somewhere down the line (after Conan was announced as the new host) he decided he wasn't ready to leave yet.
I can certainly appreciate why someone would feel this way, but I don't. It's worth noting that his antics are not random, everything is calculated. He talked about it when he went on "Inside the Actors Studio" with James Lipton. You can watch the segment on youtube.
He's gotten this far because there are a lot of people that disagree with Reds4Life. I know many people my age (early 20s) that like Conan's style. In contrast, I never watched Leno because I didn't find him funny-at all.
I don't think the considerable early dip in the ratings is a true measuring stick. It's easy to see why someone who watched Leno (or Dave) wouldn't stick with Conan after the switch. Their styles are so different, it's hard to imagine a person who would appreciate both. Additionally, most of Conan's fans are probably younger and not necessarily watching tv at 11:30 on a consistent basis.
The bottom line is that as Conan's core group of fans age, his ratings will rise, and any new, young viewers will surely choose Conan over Dave.