Steel Train’s Terrible Thrills Vol. 1 features a number of female artists such as Tegan & Sara, Scarlett Johansson, Holly Miranda, Nellie McKay and Deradoorian performing the music of Steel Train. Last night at the Bowery Ballroom, Amanda Palmer—who appears on the album interpreting “Behavior“—sat in with the group and delivered her take on the song. In addition, she covered Radiohead’s “Creep,” which she performs on hew new EP, Amanda Palmer Performs the Popular Hits of Radiohead on Her Magical Ukulele. Tonight, Steel Train moves on to Cambridge for a show at the Middle East.