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Zevon included “Don’t Let Us Get Sick” on his 2000 album, Life’ll Kill Ya.

Shortly before playing at the Edmonton Folk Music Festival in 2002, he started feeling dizzy and developed a chronic cough. After a period of suffering with pain and shortness of breath, Zevon was encouraged by his dentist to see a physician; he was diagnosed with pleural mesothelioma, a cancer (usually caused by exposure to asbestos) that affects the pleura, a thin membrane around the lungs and chest lining. Zevon was deeply shaken by the news and began drinking again after 17 years of sobriety. Although Zevon never revealed where he may have been exposed to asbestos, his son, Jordan, suggests that it came from Zevon's childhood, playing in the attic of his father's carpet store in Arizona. Refusing treatments he believed might incapacitate him, Zevon instead began recording his final album, The Wind, which includes performances by close friends including Bruce Springsteen, Don Henley, Jackson Browne, Timothy B. Schmit, Joe Walsh, David Lindley, Billy Bob Thornton, Emmylou Harris, Tom Petty, and Dwight Yoakam. At the request of the music television channel VH1, documentarian Nick Read was given access to the sessions and made the television film Inside Out: Warren Zevon.

Zevon died of mesothelioma on September 7, 2003, aged 56, at his home in Los Angeles. His body was cremated. and his ashes were scattered into the Pacific Ocean near Los Angeles.