How do I completely close the app? I can't get the "play" button off of the menu bar!

Just go to the main page, and hit the back button. The app will stop playing and close, and the icon will disappear from the menu bar.

Can I add an entire concert to my favorites list?

Actually, when you save a song to the favorites list, you're really saving the information for the entire concert - it's all there, so when you select one of your favorites you can select any song from the concert. If you want to start at the beginning of the concert when you select a favorite, just save the first song as the favorite.

I have gaps of varying length between songs - what's causing this?

Each song is stored as a separate file in the Internet Archive, so the app has to start a separate stream for each new song, and this involves some buffering of data, which causes the pause. There are rumors that "gapless" playback might be a feature in a future version of Android; if not, it's something that I'm considering approximating with the existing multimedia framework. But very long gaps (more than a few seconds) are likely due to congestion or data-limiting by your service provider; check their policies to see if this might be causing the issue.

How much of the data in my mobile plan will the Dead Of The Day use?

The recordings in the Internet Archive are of high quality and thus use a lot of bandwidth; the average bitrate is around 150 to 200 kilobits per second, or about 1 to 1.5 Megabytes per minute. Thus a complete concert can be between 200 and 300 Megabytes; if you have a limited data plan, you'll want to monitor your data usage. A good app for tracking your data use is "My Data Manager", available on the Android Marketplace.