The Celtic band I play in often gets requests. If we know it, we do it. Even if we have to read the words off a song sheet, we'll try it. (We have good improvisers among us.) If we don't do the song, or refuse to do it (e.g., "Danny Boy", which our lead singers hates), we'll say, "We haven't worked it up, but we'll try to do it in our next gig -- come see us." They usually don't. But if they do, we'll be ready with a song sheet.

Someday someone will call our bluff, and we'll have to do "Danny Boy". We've escaped so far, though.