Capo 1st fret.

Chords:
Em (022000)
G  (320033)
Gm (302033)
D  (000232)
C  (302010)

The Gm chord is really just lifting your index finger from the A string and 
hammering it on the D string (2nd fret).
Listen to the song for timing.

Intro:
(repeated over and over during harmonica part)
Em    D  G Gm G


Verse 1:
G                            C              G      Gm     G Gm G
Across from the prison and beside the great lake
Em                      D        G      Gm     G Gm G
Below the rooftops and above the highways
    C                                        G      Gm     G Gm G
The spirits pay rental on the basements they haunt
        Em                              D                G      Gm     G Gm G
And the pages just draw pictures of the things that they want
  Em                    D        G         Gm
I cook my dinner on the blacktop street
 Em             D         G
I come from the nation of heat


Repeat intro during the harmonica part.


Verse 2:
G                                   C            G      Gm     G Gm G
Outside the train station there's a bold painted sign
        Em                      D                G      Gm     G Gm G
It says try to be patient don't forget to choose sides
           C                            G      Gm     G Gm G
We got the loudest explosions you ever heard
       Em                      D          G      Gm     G Gm G
We got two dollar soldiers and ten dollar words
     Em                 D              G         Gm
If I didn't own boots I wouldn't need feet
 Em              D        G         
I come from the nation of heat


Repeat intro again during the harmonica part.


Verse 3:
G                               C        G      Gm     G Gm G
So swift and so vicious are the carnival rides
        Em                        D          G      Gm     G Gm G
And the carnival barker yell your name for a bribe
       C                               G      Gm     G Gm G
we got billboards for love and Japanese cars
         Em                            D               G      Gm     G Gm G
It ain't rare to hear the streetlights call themselves stars
    Em                    D           G         Gm
The more that I learn the more that I cheat
 Em             D         G
I come from the nation of heat


Repeat intro during the harmonica part.


Verse 4:
G                              C      G      Gm     G Gm G
I've seen skeleton mothers and hungry folks
           Em                                 D          G      Gm     G Gm G
Across the street from the kitchens that cook dinner for most
    C                                         G      Gm     G Gm G
Sometimes you hear whispers by the dark of the moon
        Em                    D           G      Gm     G Gm G
That we promised too much and gave it too soon
Em                      D          G         Gm
Even our coughs and our fevers compete
 Em             D         G
I come from the nation of heat


Repeat intro again during the harmonica part.


Verse 5:
G                               C         G      Gm     G Gm G
Blockin borders with smiles are immigrant sons
           Em                       D         G      Gm     G Gm G
we measure loneliness and miles and misery in tons
          C                                    G      Gm     G Gm G
There's a straw-hatted man rowing away from the shore
                 Em                            D           G        Gm     G Gm G
Who says "It's a shame they don't let you have slaves here anymore"
        Em               D           G         Gm
I'm the ugliest man that you'll ever meet
 Em             D         G
I come from the nation of heat