He certainly did. There was a movie made about Dave Letterman and Jay....His "stunt" was acted out in the movie, where he hid in a closet.
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He hasn't died, yet.
Jay Leno did retire from The Tonight Show and jimmy fallon is now the current host of the show.
Jay Leno (b. April 28, 1950) is a talk show host. Starting in 1992, he was the host of NBC's The Tonight Show With Jay Leno. In 2009, Leno left The Tonight Show to be replaced by Conan O'Brien. He then launched a new NBC show called The Jay Leno Show. When O'Brien left the network in 2010 due to a timeslot conflict, Leno returned to The Tonight Showwhere he currently is.
On channel NBC
There are a few places one can find Jay Leno interview videos. The best place to look is through NBC and search for Jay Leno. Another place to look is YouTube.
Jay Leno has no children.
Jay Leno's first 'last' episode was May 29, 2009, his second and real last episode was February 6, 2014.