Among the gems are a photo gallery from the program (including all of the fake Conan-U2 album covers), a transcription of the In The Year 2000 "predictions", and a short video of Conan with the fans outside before the taping (though it's not the whole thing).
Site can be found here:
http://www.nbc.com/nbc/Late_Night_with_Conan_O'Brien/specials/u2/