It was Murder City Devils where the band walked off the stage... I managed to find this description of it.
"At one memorable concert, 25 minutes into the first set, the security staff at the 9:30 club in Washington, D.C., ejected a concert-goer, saying later that the man had thrown a bottle. The Murder City Devils stopped the concert and refused to play again "until our friend is let back in," according to Joe Heim of the Washington Post. Management refused, and so, after apologizing to the rest of the 300-plus crowd, the band packed up their instruments and left. Moody explained to Heim afterwards, "the guy was mellow. He wasn?t doing anything and they should have let him stay."