Al's Band actually is Al Yankovic's band.
They recorded a single entitled 'Al's Band' on which they explain what it's like to be Al's band. The song is quite funny and the music sounds great. The music immediately reminded me of Raymond Scott, Spike Jones, and Frank Zappa. Not that it's complex, it's just plain funny.
The lyrics also refer to 'Genius In France' (Al's song that uses FZ themes and that includes Dweezil Zappa on guitar) and to the bands' appearance in The Simpsons.
for info and ordering: http://alsband.net/home.htm