I didn't see this one on the audio archives page, but it's the one where the first audience question following the reading is about church attendance and the role religion plays in DFW's life and work - a question he mostly dodges.

http://hammer.ucla.edu/watchlisten/watchlisten/show_id/25789

Also see DFW's short essay, Joseph Frank's Dostoevsky:

"What exactly does "faith" mean? As in "religious faith," "faith in God," etc. Isn't it basically crazy to believe in something that there's no proof of? Is there really any difference between what we call faith and some primitive tribe's sacrificing virgins to volcanoes because they believe it'll produce good weather? How can somebody have faith before he's presented with sufficient reason to have faith? Or is somehow needing to have faith a sufficient reason for having faith? But then what kind of need are we talking about?"