Song played in background when william macy was in bar?

Magnolia

Plays after the intro, through the opening credits and into the short introduction of each character

Aimee Mann

Played during "Seduce and Destroy" seminar introduction

Jack pulls up in his police car in the rain, knocks on claudias door while she is doing cocaine

Playing on Donnie's car radio when he pulls up in the rain

Donnie walks into the bar and starts watching the bartender, Brad

While Claudia and Officer Jim are talking in her kitchen, Claudia is making Jim coffee

Donnie is chatting to a man at the bar about how he is "Quiz Kid Donnie Smith"

The cast sing this song, one by one, during the rain. 

The camera is on Claudia and Jim is talking to her. She smiles :)