Letterman wants to go out on his own terms

• Story Highlights
• David Letterman wants to stay with "Late Show" after current contract ends
  
• Letterman surprised with NBC's plans to remove rival Jay Leno
  
• "I have to believe he was not happy about it," Letterman says
  
• Letterman calls Leno's "Tonight Show" successor, Conan O'Brien, "a very funny guy"
  
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