I often had fried pickles with comeback sauce at Kalo's Tavern in Oxford, Miss. (I'm not sure it's even there anymore.) It had been a gas station and was remodeled into a sort of hip, undergraduate-appealing, Greek-style restaurant/tavern.
They had really good pita pizzas too.
Edit: I just went googling for Kalo's and apparently they moved to a new location five years ago. I guess that means no more remodeled-gas-station ambience.
You're right, c_b. Every restaurant (well, every seafood restaurant, especially those that served Calabash-style seafood) had their signature version of comeback sauce as an enticement to...ummm...come back. Soon, now, y'hear?