I confirmed this the other day, after telling it to someone then second-guessing myself:
Little Steven, guitar player for Bruce Springsteen's E Street Band and host of Little Steven's Underground Garage, played Silvio on The Sopranos.
Here he is as Silvio, my favourite character on The Sopranos:
And here he is onstage with Bruce Springsteen:
Possibly the two coolest jobs ever. All due respect.