Megyn Kelly laughs off good-natured jab from Conan O'Brien at Stand Up for Heroes benefit

Conan O'Brien took aim at some of New York's most recognizable figures on Tuesday night, not knowing that one of them would be in the audience -- but lucky for him, "Today" host Megyn Kelly has a great sense of humor!

The late-night host performed at the Theater at Madison Square Garden for the 11th annual Stand Up for Heroes benefit, presented by New York Comedy Festival and the Bob Woodruff Foundation. He was one of six big-name comics to take the stage: Jon Stewart, John Oliver, Trevor Noah, John Mulaney and Hasan Minhaj all delivered sets for a sold-out crowd.

Toward the end of Conan's set, he announced that his team is casting a movie about New York's biggest "movers and shakers." Side-by-side photos showed which actors -- or other creatures -- would play famous faces like Mayor Bill DeBlasio, Yankees star Aaron Judge and disgraced producer Harvey Weinstein. (Weinstein's name was met with overwhelming boos from the crowd; Conan said he'd be played by the Mucinex monster and then added that the monster was "offended" by the comparison.)

Not all of the comparisons were particularly mean-spirited -- Judge, he said, would be played by lookalike "SNL" star Pete Davidson -- but it may have been an unwelcome surprise for Megyn Kelly when her own face popped up on screen.

After noting that he'd learned Megyn was in the crowd and he loved her, Conan announced she'd be played by David Spade -- "I think he's a very pretty woman!" he insisted.

While Megyn used to have a more buttoned-up TV persona as a Fox News host, she's shown off her personality more in recent months while settling into her new role on "Today."

Megyn certainly wasn't the only star in the audience: Among other famous faces, Kate Bosworth walked the red carpet alongside Air Force Master Sergeant Israel Del Toro -- and the real stars of the night were the US service members in the front rows.

Watch Megyn Kelly on "Late Night with Seth Meyers":