03/20/2012 07:14 am ET Updated Mar 20, 2012

Michelle Obama Jokes Around With David Letterman: 'This Isn't 'Oprah'!'(VIDEO)

First Lady Michelle Obama made her debut as a guest on "The Late Show" (Weeknights, 11:30 p.m. ET on CBS) Monday night.

As she joked around with host David Letterman Mrs. Obama revealed a few secrets about life in the White House.

The First Lady described provoking panic among the security personnel every now and then by threatening to sneak out on her own.

"I do it all the time," she laughed. "I said 'I'm walking out that door, I'm walking out. I'm leaving!'"

Joking aside, Mrs. Obama has managed to maintain a semblance of a normal life by venturing out incognito for shopping trips. "I've been to Target, I've been to Petco ..." she began.

That led Letterman to ask about the Obama family dog, Bo. As she was telling him about Bo's exploits, Dave quipped, "Is this what Biden does?"

Moving on, the First Lady paid tribute to her parents, saying that they had taught her the idea of "absolute, complete, unconditional love. The notion that kids really don't need anything but to know that their parents adore them."

Then, lightening the suddenly sincere mood, she joked, "Don't make me cry! This isn't 'Oprah'!"

"The Late Show With David Letterman" airs weeknights at 11:30 p.m. ET on CBS.

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