In the talk-show ratings game, David Letterman took his Late Show to L.A. and Jay Leno's Tonight Show ventured to New York City. But Conan O'Brien went no farther than cyberspace to pump up his show's popularity. As the first guest on NBC Online a new computer service available to the 800,000 subscribers to AMerica Online O'Brien deftly fielded questions about everything from his underwear (''I wear briefs over boxers'') to his hair (''My hair is a high-density polymer developed by the good people at DuPont''). The beleaguered star proved fast on his keyboard, answering queries from 229 fans. ''It's hard to believe that people want to know who my favorite Monkee was,'' says O'Brien. But NBC must have liked what he said. The network reportedly plans to renew O'Brien's show for another year.