On October 30, 2002, David Letterman gave his whole show over to one guest: Warren Zevon, who had just been diagnosed with a fatal and untreatable form of lung cancer.

If you’re not a fan, you probably know Zevon primarily, or solely, for his one big hit: “Werewolves of London.” Like most male Boomer musicians, the man was a piece of work, but he was a fine songwriter and performer, able, a bit like Randy Newman, to subvert the take-it-easy ‘70s L.A. rock style with satiric messages while still producing entertaining examples of the form. He’d been a Letterman regular since the early days, sometimes filling in for bandleader Paul Shaffer.

Letterman’s taste runs to dadrock. His favorite band, the Foo Fighters, played his favorite song, “Everlong,” on last night’s final “Late Show.” On his penultimate show he called Bob Dylan the greatest songwriter of our time. But he’s always had taste that runs a bit more eclectic than you’d expect for a man born in Indiana in 1947. On his NBC show he famously had the legendary avant garde jazz-rocker Captain Beefheart on as a regular guest. (Maura Johnston has counted down some great musical moments on Letterman’s show at The Guardian.)

So of course, Letterman’s favorite Zevon song wasn’t one of the rave-ups like “Lawyers, Guns and Money,” or the tough guy ballads like “Carmelita,” but rather the deeply strange and wonderful “Roland the Headless Thompson Gunner.” The song does what it says on the tin: Roland is a Norwegian soldier of fortune fighting in the 1960s Congo Crisis who is murdered by a fellow mercenary and goes on to become a headless phantom assassin, gunning down those who betrayed him. The song is about, sort of, colonialism, revolution, and American intelligence agencies meddling in various foreign crises, but it is also about a headless Thompson gunner.

Zevon would go on to live for nearly a year after this appearance, but this would be his final public performance. While talking with Letterman, Zevon ad-libbed his own epitaph. Letterman asked, “from your perspective now, do you know something about life and death that maybe I don’t know now?” Zevon said, “not unless I know how much — how much you’re supposed to enjoy every sandwich.”

It was one of the best hours of television from one of the best broadcasters in history.