It was the opener on The Bad Hair Tour. Al would come out on stage alone in a shiny silver coat (no, not the Pentiums one) and the band would make it's way to stage at the end of the song and start right up with "Gump."
They really did it? Wow! That was just something I came up with. Well, in that case, I think Couch Potato would be a good opener this time, since it's one of the only once that seems to start out slowly rather than just begin. Except for maybe Party at the Leper Colony.