Any Given Thursday is a live CD/DVD by John Mayer, recorded in Birmingham, Alabama at the Oak Mountain Amphitheater on September 12, 2002, during the Room for Squares tour. The album quickly peaked at #17 on the Billboard 200 chart. It features mostly songs from Room for Squares, as well as several covers, including "Lenny" by Stevie Ray Vaughan and "Message in a Bottle" by The Police. Covers have since become a regular feature in Mayer's live shows.