Will Ferrell will be Conan O'Brien's first guest on the Tonight show when O'Brien takes over the late-night show from Jay Leno on June 1, NBC announced on Monday. "Ferrell, who helped Usher O'Brien out of New York on the final Late Night with Conan O'Brie n, will help welcome O'Brien to his new home in Los Angeles," the network said in a statement. "In addition, Pearl Jam will be the inaugural band."