They also play OAD and Daryl's "Dont Leave Me Alone With Her". The latter I thought was the highlight of the show, song gets jammed out and Ben has a great jazzy solo. Daryl seems genuinely excited at the end of the song. I personally think the arrangements get a bit overblown in this setting and I'm not necessarily a fan of how they trade lines in each verse. Still, the best part about this show (and any other episode of Live at Daryl's House if you've never seen it before) is how much fun these guys are having, it really does capture the fun of bunch of guys just jamming in a garage.
Learned something new about Annie Waits too. Ben says the song was written on an Omnichord while he was in Australia and was inspired by some Australian film about a bunch of old ladies sitting around playing bingo who "seem to be waiting for something." Hadn't heard that one before. Edit: having now looked up what an Omnichord is, I'm pretty sure it's what's making the drum beat and synth sounds at the end of the studio recording.