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Shortly before he taped “Conan” at the Chicago Theatre Tuesday and impersonated Mayor Rahm Emanuel, Andy Samberg, sitting at a small, cloth-covered table in the middle of a window-less room in the Peninsula hotel, recalled his first late night talk show appearance in 2006.

The show was “Late Show with David Letterman.” Sandberg, then 27 years old and sporting an unkempt mop-top look, was coming off of his most popular “Saturday Night Live” sketch to that point, “Lazy Sunday.”

“I was nervous as (expletive),” Samberg said, laughing. “I was worried if he was going to like me. I’m a big Letterman fan.”

Samberg said the interview went just fine, and little has made him nervous since. It helps that he worked at “Saturday Night Live” — one of the most high-pressure shows to pull off on television — for seven seasons before announcing his departure earlier this month.

“It’s hard in the beginning,” Samberg said of his time at “SNL.” “You’re worried whether or not you’re going to keep your job. Once ‘Lazy Sunday’ and ‘D— in a Box’ happened I settled down a bit, because I knew if I stank it up, people would be like ‘Well, he’s the guy that did that.'”

Samberg can currently be seen in the Adam Sandler comedy “That’s My Boy,” which opened Friday and co-stars Leighton Meester, James Caan and Vanilla Ice. Samberg plays the now-grown-up love child of an inappropriate student-teacher relationship who changes his name and back-story to try to escape his past.

Does the film feel more significant because it will be Samberg’s first since announcing his departure from “SNL”?

“I’m trying not to put that pressure on it,” said Samberg, who starred in 2007’s “Hot Rod” and appeared in 2011’s “Friends with Benefits.” “Whatever happens with it, I’ll be happy because I like the movie. The fact that this movie is coming out had nothing to do with my decision to leave ‘SNL.’ (That decision) was more about the time I’d spent there and what I felt I had gotten done there and where I felt I was at personally. Hopefully I’ll get to do a lot more. And if not, I’ll go back to stand-up and that’ll be fun.”

Samberg made a name for himself on “SNL” spearheading popular Digital Short videos, but he was by no means a one-trick pony. He proved to have a knack for celebrity impressions, including Nicolas Cage, Mark Wahlberg and Emanuel. Emanuel, in fact, invited Samberg to speak at a campaign fundraiser and join him outside the Merchandise Mart “L” stop to shake hands with potential voters in 2011.

“When Rahm Emanuel calls you and says, ‘You’re going to come shake hands outside the ‘L’ with me,’ you say yes,” Samberg said. “We were out there for about an hour. I was happy with how many people were like, ‘Hey, you do a great impression of him.’ It was also nice because I know so little about politics. I’m generally locked in the office writing weiner jokes.”

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