A nice little article, with performances of "House of the Rising Sun" and "45," as well as a short Q&A. I believe the band did this in studio the day after the Letterman LiveStream.
http://www.billboard.com/column/candid-covers/candid-covers-the-gaslight-anthem-sings-1007642352.story#/column/candid-covers/candid-covers-the-gaslight-anthem-sings-1007642352.story
(Not sure if someone wants to crosspost this to the interviews forum.)