I've been twice to a taping of Conan. I went to the very first taping for TBS and once about a year later. I would love to go to another one and I am definitely planning on seeing him next summer when he does his show from San Diego Comic Con. I love Conan
If they haven't changed the check in procedure, basically, you check in at the parking garage across the street from the studios. They'll give you a wristband and a line up number. You can go hang out for a while, but then you'll come back to the parking garage to get lined up to walk across the street onto the lot into another waiting corral, and then they take you back to the stage.
So, from my experience, the earlier you get, the closer you will be to the stage. The first time, we were in the second row right next to Andy's podium, the second time we were on the first row on the other side right in front of the BCB band. My friend I was with the second time actually got to high five Conan and you could see us on camera. Now, the downside to sitting in the front is that the cameras will literally be right in front of you and you may not actually be able to see the interviews.
No matter where you sit, I think you will have a really fun time. I've met of few members of his staff and they were all very nice and were happy to help with any questions or needs.