[1][2] They became some of his best-received segments, including a famous remote when O'Brien visited a historic, Civil War–era baseball league.

"[4] The apotheosis of the Late Night remotes centered on the realization, in 2006, that O'Brien bore a striking resemblance to Tarja Halonen, entering her second term as president of Finland.

"[3][7] As part of the five-day trip, which was released as a one-hour special episode of Late Night, O'Brien met with Halonen at the Finnish Presidential Palace.

The travel series, collectively referred to as Conan Without Borders, became some of O'Brien's most popular work, winning an Emmy in 2018 and being nominated in 2019.

The show began filming in Norway in March and Thailand in April before production was halted by the 2023 Writers Guild of America strike which lasted from May to September 2023.

The website's consensus reads: "Less an informative travelogue than a pretense for Conan O'Brien to mug in exotic locales, Must Go is a must watch for fans of the comedian's antic shenanigans.

[32] Tania Hussain writing for Collider described the show as "what might be the year's most inventive and wildly hilarious series," and that it was "a shame there are only four episodes.

[34] In another positive review, Eric Deggans writing for NPR called the show a "funhouse mirror version of a travel show", with Jen Chaney writing for Vulture similarly noting the series "is much more blatant about its interest in riffing on and subverting the tropes of the travel format" than the Conan Without Borders series.

[34][35] Many reviewers praised O'Brien's self-deprecating approach to comedy, noting that the choice helped avoid any cultural insensitivity.