One of the biggest moments for the show in general came in 2013 when Cohen and his team were able to land one of the biggest gets in entertainment, Oprah Winfrey. For a relatively new show with an untested host, landing Winfrey could add huge credibility.

"This was a huge moment for me and for the show," Cohen told Entertainment Tonight in a retrospective interview of his show's first 15 years. "I'm such a fan of Oprah."

And yet, apparently Cohen couldn't resist stirring the pot and going for a bit of that "shock jock" shlock that defined Howard Stern's entire career, and has long been a part of Cohen's repertoire. There are virtually no boundaries that aren't interesting enough to at least poke at.

Sometimes, Cohen lets loose and just follows his gut -- which can lead to some very revealing and entertaining moments, and also some incredibly awkward moments. In this case, things did not go his way when he asked Winfrey if she'd "taken a dip in the lady pond."

"It meant so much to me that Oprah Winfrey did the show," he shared with ET. "It's gone brilliantly and I turn around and ask her if she's every had sex with a woman. I mean, couldn't I leave it alone?"

Winfrey's response was a terse, "No. No, I have not. Thank you."

"That's probably one of my few regrets," Cohen told the outlet of the uncomfortable moment.

Luckily for Cohen in the moment, Winfrey was "super cool," leaving him feel that maybe it hadn't been all that awkward, after all. Later, he got an explanation as to why it went as ... well? ... as it did.

"Gayle King told me later that week that Oprah didn't know what I meant by 'the lady pond,'" he explained. "I thought I explained it pretty well there."

Ultimately, though, despite it lingering in his memories as a regrettable moment on his part, Cohen still said that Winfrey's appearance "remains, I think, my favorite episode." He noted, "I was so grateful that Oprah did the show and I still am."

Elsewhere in the interview, Cohen recalled some of his other notable guests across the past 15 years, citing Broadway legend Patti Lupone as his absolute favorite because she "has no F's to give so she is the perfect clubhouse guest."

One of those moments, Cohen shared, got him "in a lot of trouble with Madonna," who purportedly called him a "troublemaking queen" from the stage while on tour.

"You need to stop talking crap about me on your show," Cohen said, recalling Madonna's apparent words. Cohen shared that he tried to smooth things over by sending "all the nice things we said" over the years about her, while also reiterating that it wasn't even him who'd said anything.

He said that while Madonna has yet to accept an invitation to appear on his show herself, when it came to the montage clip of all the moments she's been talked about positively, "she appreciated it."

It's such a unique show with an energy all its own, and that's a lot to do with its format and even its studio space.

Cohen explained to ET that he thinks a lot of the show's success is thanks to its "spontaneity, authenticity, fun, humor, me going there and people never knowing what's gonna happen." Plus, he lets the alcohol flow.

He said the live nature of the show, the bar, and the unique setup actually gets people to loosen up in ways they don't on more traditional talk shows.

"It's so small in here that it's deceptive, like, people don't realize they're actually on television," he said.

Cohen shared that one of the moments he realized the unique blend of WWHL ingredients came when he had Regina King and Jackée Harry on back in 2011. Even before the show started, Cohen said they got "sauced" in the green room.

They only imbibed more as the night went on, which left him worried the show was turning out a disaster. "I was wondering if it was too messy and then I realized, 'Oh, wait, people on Twitter are loving this' and it became a really, really historic episode," he said.

Ever since then, he's leaned into the chaos, which is a big part of why some of the most memorable late-night moments come from his little Watch What Happens Live clubhouse.