Fun.

Back in February 2008, Nate Ruess split with The Format and formed a new band with the Format's touring partners. Nate asked Jack Antonoff of Steel Train and Andrew Dost of Anathallo to join him in a new project which was kicked off within a week in New York. "We stayed for a couple of months and just wrote, recorded and hung out," Andrew said in an interview.

They recorded their first demo and titled it "Benson Hedges". With materials in hand, the band approached Steven McDonald who produced for The Format. McDonald agreed to produce their first album and even played guitar in it. "At Least I'm Not as Sad (As I Used to Be)" was set as the first single and posted for free on the band's MySpace page.