The Velvet Underground are one of those bands that have a very distinctive sound - even if you've never heard the song before you know it's them almost immediately. Personally I prefer their more mellow songs (although they do some cracking upbeat ones, too) and the album The Velvet Underground (1969) has plenty of them - 'Pale Blue Eyes', 'Jesus' and 'I'm Set Free'.
'I'm Set Free' is a very good song. It's probably about drugs as are so many of The Velvet's songs ('Heroin' in my opinion is the best song about drugs ever written). However, like 'Jesus' there is plenty of spirituality about this song. Who for example is the 'prince of stories'? And there's biblical imagery throughout.
So why did it make my Lent playlist? Well, traditionally Lent is associated with the rigours of fasting and discipline. These things whilst associated with keeping particular rules are endured to bring freedom for the soul. In my own experience freedom rarely comes without a cost. And if we can only perservere through the pain barrier there is a prize worth it all at the end.