Watch the I Need It Bad online guitar lesson by Jeff McErlain from Focus On: British Blues

"I Need It Bad" is a classic jazzy 8-bar blues, so it's a great one to get into your repertoire as it can change up a set of blues at a gig. Another tune I can think of that uses the same set of changes is "Someday After A While (You'll Be Sorry)" that Peter Green plays on on his debut recording with John Mayall called Hard Road. Great record, and a British Blues must. The changes using the numerical system of analysis are:

I | I7 |IV |#IVo7 | I7 VIm7| IIm7 V7| I7 IV7| I7 V+7|

It is extremely important as a musician to familiarize yourself with thinking of music this way for a number of reasons. It's the way musicians speak to each other because it's much easier than saying each chord name, and it allows you to transpose the song into a different key on the fly. The more you do it and hear what those chords sound like in relation to each other, the more you can identify them when you hear them. I don't have perfect pitch, but I'm pretty good at hearing chord changes at this point. It isn't some sort of mystical ability that I have, it's just that I've paid attention to what chord changes sound like relation to each other and memorized it.  That simple, and that difficult. :-)