On October 30th, 2002,Warren Zevon was featured on the Late Show with David Letterman as the only guest for the entire hour. The band played “I’ll Sleep When I’m Dead” as his introduction. Zevon performed several songs and spoke at length about his illness. Zevon had been a frequent guest and occasional substitute bandleader on Letterman’s television shows since Late Night was first broadcast in 1982. He noted, “I might have made a tactical error in not going to a physician for 20 years.” It was during this broadcast that, when asked by Letterman if he knew something more about life and death now, he first offered his oft-quoted insight on dying: “Enjoy every sandwich.” .
Letterman was a huge Zevon fan and he’d featured the singer on his show dozens of times, often subbing him in for Paul Shaffer when the bandleader was busy with other projects.
He also thanked Letterman for his years of support, calling him “the best friend my music’s ever had”. For his final song of the evening, and his final public performance, Zevon performed “Roland The Headless Thompson Gunner” at Letterman’s request. In the green room after the show, Zevon presented Letterman with the guitar that he always used on the show, with a single request: “Here, I want you to have this, take good care of it.” The day after Zevon’s death, Letterman paid tribute to Zevon by replaying his performance of “Mutineer” from his last appearance. The Late Show band played Zevon’s songs throughout the night.
The show on October 30th, 2002 was one of the most emotional Letterman broadcasts ever, but Zevon did his best to keep things light. he said. “I have a form of lung cancer that spread. It means you better get your dry cleaning done on special.” He also talked about his in-progress album The Wind, which came out the following August. “They certainly don’t discourage you from doing whatever you want,” he said. “It’s not like bed rest and a lot of water will straighten you out.” .
Warren Zevon had no plans to tour at this point, so he knew that his live renditions of “Mutineer,” “Genius” and “Roland the Headless Gunner” would probably be his final public performances. Many in the audience probably had trouble maintaining their composure, but Zevon never wavered. He was absolutely brilliant.
“After the show, it was heartbreaking he was in his dressing room,” Letterman told Rolling Stone in an interview in 2008. “We were talking and this and that. Here’s a guy who had months to live and we’re making small talk. And as we’re talking, he’s taking his guitar strap and hooking it, wrapping it around, then he puts the guitar into the case and he flips the snaps on the case and says,
‘Here, I want you to have this, take good care of it.’ And I just started sobbing. He was giving me the guitar that he always used on the show. I felt like, ‘I can’t be in this movie, I didn’t get my lines.’ That was very tough.”
Contrary to the predictions of many doctors, Zevon lived another 11 months after his Letterman appearance, Zevon stated previously that his illness was expected to be terminal within months after the diagnosis in the fall of 2002; however, he lived to see the birth of twin grandsons in June 2003 and the release of The Wind on August 26th, 2003
More so than any other musical guest Letterman has had on his two late-night TV shows over the past 33 years, Zevon was a perennial favorite, appearing more than a dozen times. Not just because he wrote and sang some great songs, but because he was funny, self-deprecating and a cynical bastard — just like Letterman. Zevon played two songs on his first Letterman appearance “Excitable Boy‘s” title track and “The Overdraft” from the new LP — and he sat down to talk with the host, and he proved to be a charming, witty and biting guest, unlike most musicians (which is why they mostly just perform their hit song and get out of there). No doubt Letterman saw something of himself in Zevon,
The Fat Angel Sings 