I feel pretty strongly that an originals band should know exactly what they are going to play (as well as how long it will take to play it and generally how the transitions between songs will come off) before hitting the stage. High paying cover gigs should, IMHO, be treated more or less like originals. The focus in these situations should be the show, not the individual songs. Of course, there are a few exceptional bands that can do a solid job of reading the crowd and putting together a call it as you go setlist that flows like butta. The rest of us mere mortals simply end up looking idiotic as we ask each other what the next song in line is in front of our audience.
Now, there are those bar cover gigs where you are basically being payed to be a live jukebox. In those cases I'm not sure a setlist does you much good. Those are the gigs where being able to guess your way through obscure semi-hits from long-dead one hit wonders is the core skill set. Personally, I will try to get through my whole life without doing that, it's just too dang stressful.