I'd have to say Paul Schaffer and the CBS Orchestra is my favorite. There is so much intelligence, tongue-in-cheek and humor in what Schaffer plays. He's so damn quick, too, providing an impromptu accompaniment, or "dialing music" for Dave.
Maybe it's also that Paul Shaffer has been in my consciousness for like 30 some odd years...Remember the skit on SNL where Bill Murray was the lounge singer at Meatloaf Mountain? "Star Wars!!! Nothing but Star Wars!!" His accompanist??! Paul Shaffer.
I sometimes watch the show and key in on Will Lee's playing. He has always been a favorite bass player of mine way back to the days of the early 70's Brecker Brothers.
I think my preference in band has something to do with my preference in show (and host). My current favorite "bit" is "Great Moments in Presidential Speeches". I have always found Leno kinda un-funny and forced. I have dug Letterman for close to thirty years, going back to when he had the daytime show. Anybody else remember that show?
The few times I have heard the Max Weinberg 7, I have liked them. I love Max's playing and his kit is a nice object lesson for kids who think they need a million toms in their kit. He makes a ton of music on his minimalist kit. It's just on too late for me to watch regularly to get familiar with the band. I did, however, go to a taping of the Conan O'Brien Show in 1998. His guest that evening was Halle Berry

It was cool to hear the band play the full tunes going in and out of commercials. It was weird at the end of the show, you know the part when you're watching at home and the credits are rolling and the band is wailin'.... As soon as the director signaled that they were "clear" the band just stopped... really unsatisfying and bothersome (to me anyway)...
:twisted:
Steve