Sometimes I'll tell them "if there's a song you want to hear, just keep it your/--I mean let me know what it is!"
Seriously at the venue where I play a lot, or more accurately where I played a lot, I welcomed requests. These were mostly rich people spending hundreds on meals and drinks and the tips were sometimes really good. Of course I never kept the tips. I always refused them or gave them to the waiters so I wouldn't have tax problems.