Joan Baez sang this once with the Dead, on 12 December 1981. Thanks to Matt Schofield for help with the lyrics. This appears on most songlists as "Heroes Gone" but it seems that the title should be "Sgt Pepper's Band." It's written by Joan Baez but never released on an album.
I never knew you meant that much to me
Why did I light a candle when you died
Find a picture of you walking in Central Park
With the iron woman by your side
That candle burned for twenty days
Most of my good friends came to mourn
And we talked about the good old days
Before my friends and I were born
Now I think I understand
It was Sgt Pepper's Band
That put the sixties into song
Where have all the heroes gone
Lucy in the sky with the lads from Liverpool
Drop some acid, meet the queen
Coming out of both eyes of the hurricane
You sang your music sweet and clean
Oh you may not want my poetry
I surely would not want your fame
You rose over the dawn of my early history
I'll pay you tribute all the same
Where have they gone
Where have they gone
Where have they gone
Where have all the heroes gone
It was a diamond studded hard day's night
They tell me everyone was there
I must have heard you from my mothers arms
I must have thought somebody cared
And I live in the age of cosmic maniacs
One of them put a bullet in your side
New York City nineteen eighty
The day the sixties finally died
Where have they gone
Where have they gone
Where have they gone
Where have all the heroes gone