In the opening "on the way to his first show" sequence, Conan plays hopscotch on the side walk with some little girls. He was supposed to jump rope with them, but because he is so tall (and the girls very little), the rope wouldn't swing high enough for him to "jump in". After trying the sequence several times with different ropes, they switched to hopscotch.
According to Louis C.K., the cold opening was originally going to end with Conan putting a gun in his mouth. But C.K. convinced Conan and Robert Smigel that that was too dark and told them to change it to Conan putting a noose around his neck.