I've recently been watching the final three seasons of The Sopranos just to remind myself how good the show was and how exactly the series ended. And to end the debate, Tony dies at the end of the series. End of discussion.
This song is playing when Michael drives off the road in Season Six, Part 2, leading to his death at Tony's hands. It is Mr. Morrison covering Pink Floyd's classic.
Van Morrison -- Comfortably Numb [Live]
From the Van Morrison At the Movies: Soundtrack Hits album.