i reckon Chelsea's referring to the Honolulu 66 recording, where Charlie's asked to introduce something - i may have it the wrong way wrong, but:
as usual, Charlie starts with "now we'd like to play one of our favourite numbers ... " and he comes up with The Last Time, which they'd already played.
the band cracks up, and Mick says something like "no! we played that years ago!" (it was supposed to be Lady Jane, if memory serves.)
at the 1964 NME Awards gig Charlie also needs some help recalling which of their favourite numbers they're going to play (that time it was I'm Alright).
"What do you want - what?!"
- Keith