There are at least three bands with this name: 1) Last Exit (International avant-garde/free jazz band) 2) Last Exit (British jazz fusion band) 3) Last Exit (British power electronics project) 1) Last Exit was an avant-garde jazz supergroup composed of electric guitarist Sonny Sharrock, drummer/occasional vocalist Ronald Shannon Jackson, saxophonist Peter Brötzmann, and bass guitarist Bill Laswell. They were active from 1986 to about 1996, releasing primarily live albums recorded in Europe.