I Don't Know What It Is

Wainwright said the first lines came to him at a party for The Strokes in New York, where nobody was sure what was cool but everyone sensed it was somewhere in the room. Only later did he decide the song was personal, about searching without knowing what you are searching for, with a train heading for either oblivion or salvation. The lyrics also borrow from the Three's Company theme and from Judy Garland's The Harvey Girls, and name Calais, Dover, Poland, Limbo and Lower Manhattan. Marius de Vries said in the All I Want DVD that its hundreds of orchestral, choral and vocal layers made it one of his hardest production jobs.

It was released as a UK single in a slim-line jewel case on 26 July 2004, with the live B-sides L'absence and 14th Street recorded at the Fillmore in San Francisco in March 2004. It spent one week on the UK Singles Chart, entering on 7 August and peaking at 74. Pitchfork called it slow-building and twinkling, with his most melodic vocal punch. Wainwright performed it on Late Show with David Letterman on 6 October 2003.