There was a club in New York City from 1958-1971 called The Gaslight, where Bob Dylan, Richie Havens, Odetta, and other great folk artists got their starts. To us, it seemed cool to refer back to when people who became legendary were just starting out, everybody starts from somewhere. It also was a collective, each person learning from watching others, honing their craft. The "Anthem" came from the central song, or idea of this place, which reminded us of our basement collectives we had growing up, throwing and playing shows.
He addresses the issue of a "solo" or acoustic album, something hinted at by past solo performances Fallon has done:
I doubt I'd do an acoustic album or a "solo" album, but I would like to make a record people can listen to in the night time. I think I'd like to do that with a band name and some friends where we can dress like the Bad Seeds, in suits. Seriously.
Check out the first part here. He promises a second FAQ soon.