Christina Hendricks has never seen Game of Thrones, but she once in a moment of panic, told a reporter that she'd like to be on it and thus launched a thousand fan fantasies. Even having fessed up to being a little ignorant about the show and books, the Mad Men actress stands by her choice, telling Conan that she'd still be thrilled to appear on the series.
Seeing how Mad Men's in its last season, why not get a little goofy do a one-episode cast swap? Christina could play Arya and Jon Hamm could be one of Littlefinger's prostitutes. In the end, it would turn out that the whole thing took place inside one of Roger Sterling's acid trips. It would be a twist bigger than the Red Wedding!
Hendricks and Conan also discussed her iconic red hair and how, after Mad Men is over, she might consider lightening up her look (naturally, she's more of a strawberry blonde). The mere idea threw Conan into a panic.
(By the way, you could have replaced Conan with the Looney Tunes' Big Bad Wolf for this entire interview and it would have probably gone the exact same.)