I can't really compete with most of these stories, but one really odd event jumps to mind where someone made a request that defied expectations. Probably one of those "had to be there" moments, but anyway...
In college, myself and a few other guys had a weekly gig at this small bar that decided they wanted to have jazz one night a week. It was a pretty loose affair, musically speaking. We played a lot of weird shit, basically whatever we wanted to do. The kind of stuff you never get to play at most jazz gigs. We just played for free drinks because it was a fun outlet. That kind of thing.
Anyway, this one night we were just killing some tune to the point where it was practically atonal. I was playing Cecil Taylor shit. We were just going insane. I'm sure nobody enjoyed it, but we were having a blast. This absolutely smoking hot blond in an expensive-looking dress walks up me in the middle of the "song" with this look in her eyes like she wants me to nail her right there on the piano bench. She reaches over and gently wraps her arms around my neck. At this point, I'm already thinking about the letter I'm going to write to Penthouse Forum. She kind of flips her hair back, gets real close, and whispers in my ear (in the middle of this chaotic music, mind you) "do you know any James Blunt?"
There was something so surreal about it, like it was straight out of a David Lynch film. I don't remember what I stammered in reply, because it was fairly evident from what we were playing that James Blunt tunes are not in our repertoire, but for her...man, I've never wished I listened to wussy soft rock until that night.