Musician Paul Shaffer. Shaffer is the ultimately hip leader of "The World's Most Dangerous Band," the house group on "Late Night with David Letterman." Previously, Shaffer was a session musician in New York, band leader on "Saturday Night Live," and music director for the Blues Brothers, the alter egos of Dan Ackroyd and John Belushi. Paul Shaffer has just put out his first album, called "Coast to Coast." It's a collection of tunes representative of the musical variety of the country, with legendary stars from those regions sitting in.