This song is a long held favourite of mine, with a dark guitar riff running straight through the heart of the song, brilliantly playing up its dual nature. The lyrics tell of either a failed romance, or possibly a more sinister event. 'There ain't no motive for this crime, jenny was a friend of mine' - is this a metaphorical analysis of a break up, or a literal plea of innocence? The wonderful Killers leave this decision in your hands dear reader.
[On a side note, there are other songs in this tale - Leave The Bourbon On The Shelf (here) precedes Jenny Was A Friend Of Mine, and Midnight Show (here) concludes the story.]