"Very funny," the first lady said with a grin.
Visiting NBC's "The Tonight Show" for the second time since her husband George W. Bush took over the White House, the first lady confided that she watches baseball games to relax, used to feel intimidated by her mother-in-law and now lifts weights a few days a week with a trainer.
"I'm getting quite buff," she said, gently flexing a bicep.
Taking a break from the campaign trail, the first lady stayed away from issues she mentioned at a political rally in Las Vegas Tuesday — support for her husband's tax cuts and crediting the administration for ousting Saddam Hussein (search).
Leno noted that President Bush has said he doesn't read newspapers, preferring to get information from his staff. His wife offered a slightly amended version.
"He really does read the newspaper," she said, but stipulated that he does not read stories by the reporters that follow him.
"Because he says he doesn't want to be mad at them the next day," she said. "He was there at the event, so he doesn't need to read their coverage of it."
Leno said the president's mother, former first lady Barbara Bush (search), once gave him a firm handshake and warned him, "Don't tell any more jokes about my son."
"She was pretty intimidating," the first lady agreed, recalling some of her early days around the Bush family. "She still can be."
And she hinted the president might be a little thin-skinned. She remembered that when he was running for Congress in Texas, he once ran the car into the wall of the garage after she criticized one of his speeches.
So, Leno asked, did the first lady hit the slots or look in on a Chippendales show while in Las Vegas on Tuesday?
"Jay, what happens in Vegas stays in Vegas," she deadpanned.
And what about her last argument with the president?
"What happens in the White House stays in the White House," she said.