TORONTO - When you are about to take the biggest gamble of your career, where do you head? To a casino, of course.

Jay Leno, who closes out 17 years as host of "The Tonight Show" on May 29 before embarking on a new, nightly, prime-time series, is taking his act to Casino Rama in Ontario cottage country.

The June 2 show will be Leno's fifth appearance at the resort north of Toronto.

"I like that place, it's a nice place," says Leno, who filled the 5,000-seat venue on four previous occasions, the last being in 2005.

The 59-year-old talk-show host is the centrepiece of NBC's just announced fall schedule. "The Jay Leno Show" will offer the same 11-to-14-minute opening monologue per night, Leno says, but there will be more comedy, less chat, especially at the back end of the hour.

It's a big roll of the dice on NBC's part, a deal they struck to keep Leno in the fold after promising to hand over "The Tonight Show" to Conan O'Brien five years ago. O'Brien begins his stint as the fifth "Tonight Show" host on June 1.

The Rama performance isn't even Leno's first standup gig post "Tonight." He's in Atlantic City the night after his late-night TV departure.

"I like being a nightclub performer, that's my favourite thing of all," Leno says on the phone from his NBC office in Burbank, Calif.

"TV shows are fun, but you need 175 people to do a TV show, and you get notes from the network and stuff. When you go to a club, you just get up on stage and tell jokes and have fun, you know?"

Leno says he's been playing to Canadian audiences since he began doing standup straight out of high school in the early '70s. While he never evaded military service himself, he was part of the "Draft Dodger Tour" of comedians who worked across Canada as the Vietnam War was winding down.

"Jesse Winchester (and) the guy who wrote `Mr. Bojangles,' Jerry Jeff Walker, all those performers were conscientious objectors who used to work the border towns," he says, rhyming off Canadian cities like Moose Jaw, Sask., and Winnipeg as stops along the way.

"One of the rules of comedy is that the colder it is, usually the better the audiences are," says Leno. "In colder climates, people tend to read more, they just have a bit more knowledge about things."

Plus they appreciate a get-together, says Leno, who grew up in a small New England town near Boston.

"Our house was on three acres, and when it snowed you got stuck," he says. "Once a month they would have a town meeting and the whole town showed up. Nothing would ever get done but people just liked getting out and going places where there were other people."

"That's the nice thing about Canada ," adds Leno. "The worst thing you can do is play Hawaii. You're on stage and a guy reeling in a sailfish goes by behind you. This is stupid, this doesn't work "

Leno acknowledges that his Jaywalking segments from "The Tonight Show," where people get stumped on the street by the simplest questions, might not work so well if he taped them in Canada.

"Probably a little bit tougher," he says. "L.A.'s the perfect place for Jaywalking, believe me."

Before we get feeling too superior, he adds that "what dumb Canadians you do have, they come to Los Angeles. We meet them on Jaywalking. All the dumb Canadians come down here."

Then again, maybe Leno wouldn't ace his own quiz either. Asked what it was like to be one of only four "Tonight Show" hosts, he says, "No, there's more than that. Steve Allen, Jack Paar, Johnny ( Carson ) oh, I guess you're right!"

Leno shrugged off questions about his recent overnight hospital stay, a headline-making occurrence that forced him to miss his first two "Tonight" appearances ever. He blamed an over-zealous NBC nurse for demanding he go in to check out a persistent fever.

His final guests on the 29th will be singer James Taylor and O'Brien, who Leno says will be a great "Tonight Show" host.

Leno also has something special planned for the very end of the show. "I think people might get a kick out of it," he says.

Otherwise, he plans to be on the road, working a full schedule of live gigs like his Casino Rama appearance, right up until the new show starts in September. He hopes to work in more stops on his "Comedy Stimulus" tour, a free comedy concert series aimed at the thousands of people who have recently lost their jobs.

"In Detroit we had 40,000 people and we had eight security guards. Nobody pushed, nobody shoved. I saw people shaking hands and meeting people -- it was a nice, friendly crowd."

He feels people are pulling together a little more during the current economic hard times.

"Look, I'm not saying there's anything good about a recession, but it does get people focusing on other people a little bit."