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Though he was the biggest hit on the first season of SNL, Chevy left after just one season and moved to Los Angeles. Chevy says he still regrets that decision.

"I left because I was in love and infatuated with a girl whom everybody on the show knew was wrong for me and who wouldn't come to New York," he says. "Later, I had a lot of excuses. 'No, not marriage. Making movies.' I really did regret it. I wish I was still there."

"Really?" Oprah asks.

"Well, no, not really," Chevy says.

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