Birth Name: Conan Christopher O'Brien
Date of Birth: April 18, 1963
parents: Ruth and Thomas O'Brien
Born in: Brookline, MA
siblings: three brothers - two sisters: Neil, Katherine, Luke, Justin, and Jane. (he's the 3rd of 6 children)
height: 6'4"
college attended: Harvard, from 1981 to 1985.

for more (and much better) information than what I already have, check out these info-packed Conan pages:

The ultimate Conan O' Brien faq! (highly reccommended!!)
NBC.com's official LNwCOB website's bio
A fan's very short and sweet bio
TONS of articles and bio goodness at About.com!
Conanobrien.net - tons of random facts like Conan's favorite color, cholesterol, and favorite Simpson's episode.