Fans lined up outside NBC studios for two days hoping to witness history in the making and score a ticket to the show.
Obama's appearance on the Tonight Show, the first by a sitting president, even made Leno a little nervous. This is "the most exciting show of my life" he told the audience.
"A lot of people were surprised that the president came to NBC," said Leno. "You'd think by this time, he'd be tired of big companies on the brink of disaster," he joked.
Obama, dressed in a dark blue suit with a red tie, talked about everything from the economic crisis to the arrival of a "First Dog" in the White House.
"When we get back, the dog will be in place," Obama said, adding that the whole family is excited about its arrival. "They say if you want a friend in Washington, get a dog," he joked.
More seriously, Obama said critics had underestimated the number of challenges facing his Treasury secretary, who has taken heat for his handling of the AIG bonus scandal.
"This guy has not just a banking crisis. He's got the worst recession since the Great Depression," Obama said.
"The immediate bonuses that went to AIG are a problem," he said, "but the larger problem is we've got to get back to an attitude where people know enough is enough."
When Obama was asked about sports at the White House, he revealed that he recently bowled 129 – "I've been practicing" – and still enjoys the occasional game of pick-up basketball with aides."
"When they play, do they throw the game?" Leno asked.
After a long comic pause, Obama said, "I don't see why they would throw the game except for all those Secret Service guys with guns around them."
Check out the clip of Obama on Jay Leno below...