The Midnight Show DLC is included. Just remember to set nudity in the options to ON before you start a new game to get the most out of it ;)

Not entirely accurate... I owned the Xbox 360 version of this game and "The Midnight Show" content was enabled via a free (but single-use and non-transferrable, of course!) code that was included inside every new copy of the game.

You only had to pay money for "The Midnight Show" as DLC if you bought a pre-owned copy of "The Saboteur" where the original owner had already redeemed that code.

It was basically this game's equivalent of EA's "Online Pass" concept - except this game didn't have any online modes to lock away behind a cunning scheme designed to (a) discourage people from buying EA games pre-owned by ensuring they didn't get a full game, and (b) earn EA some money from people who had bought EA games pre-owned and wanted to replace the missing content, so they locked "The Midnight Show" behind a pass-code instead.