It was on "This American Life" - [link|http://www.thislife.org/pages/descriptions/98/114.html|Last Words]. TAL is a wonderful radio show.
Act Six. What Goes Through Your Head. Writer Tobias Wolff reads his story Bullet in the Brain (from his collection of stories, [link|http://www.powells.com/cgi-bin/partner?partner_id=28734&cgi=product&isbn=0679781552|The Night in Question]) about a bank robbery and a man who's shot, and what he thinks about before he dies. (13 minutes)
Song: "A Way of Life," Jimmy Durante
Cheers,
Scott.