Ratings wise, Leno ruled the 10:35 PM (Central time) slot pretty consistently for the last decade. In that regard, Conan has big shoes to fill.
According to a discussion I heard on one of the local CBS-owned radio stations last week, Leno is a very personable, genuinely friendly person outside of the show. Letterman apparently is rather opposite, and his "friendliness" on the show (such as it is) is mostly contrived. The theory that the people involved in this discussion had was that viewers pick up on this, and tend toward the genuine personality, even though Letterman might actually be "funnier". They weren't particulalry complementary of Letterman. I found that quite interesting coming from a CBS-owned station.
Personally, I've felt that way about Letterman for some years now. The guy is just dark and seems like he's continually got an axe to grind, and I just don't care for that before going to bed (I get enough of that during the day). The only redeeming quality I find in his show is Paul Shaffer and his band, who do an excellent job with the music.
I haven't heard much about Conan's off-air personality. He seems to relate well to people. I enjoyed his show, so I hope he does well.