Told by Penn Jillette, of magic/comedy duo Penn and Teller, on the Alex
Bennett radio show (KITS, San Francisco, CA):

Recently deceased blues guitarist Stevie Ray Vaughan comes to after
his death. He sees Jimi Hendrix sitting next to him, tuning his guitar.
Holy cow, he thinks to himself, this guy is my idol. Over at the
microphone, about to sing, are Jim Morrison and Janis Joplin, and the
bassist is the late Barry Oakley of the Allman Brothers. So Stevie
Rays thinking, Oh, wow! Ive died and gone to rock and roll heaven.
Just then, Karen Carpenter walks in, sits down at the drums, and says:
Close to You. Hit it, boys!