Fans started lining up outside hours before the taping started.
Cathy Deters, 52, of Cincinnati drove to Chicago without a ticket, but someone outside the stadium gave her one.
“I don’t think anyone could replace Oprah Winfrey,” said Deters, an energy broker. “Not many people will have the chance to experience this.”
Celebrities such as Lisa Ling, Carson Kressley, Jessica Seinfeld, Ally Wentworth, Bob Greene and former Chicago Mayor Richard Daley sat in the audience.
The content of the final episode of “The Oprah Winfrey Show” is still under wraps. Winfrey announced in November 2009 that she would end her popular talk show after 25 years.
AP reporter Alicia Rancilio contributed to this report.