Norm Macdonald told this story on Thursday night's episode of Conan for an interview segment that also included Adam Sandler, Tim Meadows, David Spade and more. And Chris Farley apparently shared this secret with him as the cast was watching Conan O'Brien's first night as the host of Late Night on NBC, which is a nice touch. And for what it's worth, Conan and everyone else on stage laughed quite loudly when Macdonald was finished, which usually happens after the comedian's stories, but here there was the addition of "this might all just be a bunch of bullshit."