Covered In Rain is a song that John wrote in response to City Love. It's the continuing story of a girl named Lydia in New York City. The song tells the story of the ending of a relationship and also was inspired by the 9/11 attacks on America. Several lyrical passages note this along with John himself stating that it was born from 9/11 (Standing by the missing signs at the CVS by the checkout line and Drinking wine watching CNN dark I know but then again, it's the brightest thing I got), and John explained that the guitar solos were inspired by the album "Bold As Love" by Jimi Hendrix and "Life By The Drop" by Stevie Ray Vaughan. John explains in the Any Given Thursday commentary, that people might not realize that Covered In Rain comes from the same line found in City Love.
"She called up and came to me covered in rain" - City Love
The song came out of a soundcheck in Dallas. The first chorus came out of just a moment that happened, the rest grew over time as the tour went on.
Covered In Rain is found on the Any Given Thursday DVD, but it was also performed by the John Mayer Trio. John rarely plays the song in concert anymore, but has been known to play it from time to time, noteably when in New York and on September 11th while touring.