Lyric discussion by fingergun 

The song is indeed about R. Budd Dwyer, but, to clear up what division2roning said, he did not go into a bank nor did he hold anyplace "hostage." R. Budd Dwyer was a politician found guilty of bribery and was facing a harsh sentence, so he held a press conference professing his innocence. At the end, he pulls a gun out of a manilla envelope and shoots himself. The incident was shown on at least one news program in it's entirety. As far as "What you could've taught me, I could have saved some face" goes, it can be broken down like this: Many suicide shots to the face result in disfigurement of the face. R. Budd Dwyer's shot was, for lack of a better term, a clean shot. It went through and out the back, destroying the sinus cavity, resulting in blood rushing out of his nose. His face was still intact. The singer is saying that he wishes he could have met Dwyer so that he could get pointers on how not to destroy his face in his own suicide. The video of the suicide is available online and is very disconcerting, even for me.

Also an important note, after Dwyer was convicted, this happened:

"William Smith, the man whose testimony led to the conviction of Dwyer, stated that he had lied under oath in order to get a better sentencing for himself, thus revealing the accusations against Dwyer to be false"

Essentially, after conviction and death, the man who caused all this recanted, out of court. His recanting is on film in the movie "Honest Man: The Life of R. Budd Dwyer"

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