Lonesome Jim (15)<br/>Shine A Light (15)

The refusal to accept consolation can make a man heroic, but it doesn't necessarily make him likeable. Steve Buscemi is one of the few who has trodden a fine line between both, as actor and film-maker. I still revere his 1996 directorial debut Trees Lounge, in which he plays a bibulous loser who can't move on with his life; he later did a variation on the character in Terry Zwigoff's Ghost World. His new film, Lonesome Jim, also focuses upon a classic American sad-sack, only this time he's stayed behind the camera and given the role to Casey Affleck, an actor who brilliantly conveyed a melancholy vagueness of his own as Robert Ford in last year's The Assassination of Jesse James.

Affleck plays Jim, a dispirited young man who returns to his hometown in rural Indiana after some unspecified failure in New York. It is not a joyous homecoming. His father (Seymour Cassel) is still a morose bully, his sweet-natured mother (Mary Kay Place) still infantilises him, and his older brother Tim (Kevin Corrigan) is almost catatonic with depression; the film is barely 10 minutes old when the latter puts himself in hospital following a not-so-accidental car crash. James C Strouse's screenplay isn't afraid to drive us to despair. "I sort of came back to have a nervous breakdown", Jim admits, but in his hopelessness he can't even manage to do that properly.

One reason why we might not warm to Jim is that he doesn't know how lucky he is. His mom is guilty only of coddling him too much, and surely doesn't deserve to have him pinch cash from her. And when local nurse Anika (Liv Tyler) takes a shine to him he treats her in such an offhand manner you begin to wonder if Jim's not wedded to his misery. Obliged to coach his injured brother's all-girl junior basketball team, he seems to have another shot at redemption, but one look at his blank-eyed expression tells you that these kids aren't going to get the Bad News Bears treatment anytime soon.

Jim's taste in literature reflects his lugubrious view of life; all of his favourite writers either killed themselves or drank their way to an early grave. One of them he mentions is Richard Yates, whose great gloomy stories of loss and loneliness are certainly an inspiration here.

Casey Affleck gives a fine impersonation of world-class despair, leaving a mournful beat before answering a question and seldom daring to catch anyone's eye. He comes close to being a right pain – he could have Liv Tyler as a girlfriend, for heaven's sake – and one detects a hole in the screenplay where some explanation of his misery may lie. I think it's Buscemi's sense of resignation, allied to his downbeat sense of humour, that render Lonesome Jim something grander than a hard-luck story.

Martin Scorsese, having made liberal use of The Rolling Stones as accompaniment to his movies, now offers the ultimate compliment of filming the band in concert. Shine A Light catches the New York leg of their pension plan – sorry, 2006 world tour – and, in an awkward preamble, features them gladhanding with birthday boy Bill Clinton and his entourage. What they thought of the ex-President goes unremarked, but then the whole movie is geared to telling us nothing we don't already know.

It is no test of Scorsese's talent, either, being a more or less straight account of a gig, less bombastic than U2's recent 3D love-in but hardly more arresting as a spectacle: Ronnie and Keith on their duelling guitars, Charlie impassively pounding the drums and Mick cavorting for Britain upstage.

What strikes you over its two-hours is how samey the songs are, and how unvarying their presentation. Aside from the pleasant country of "Faraway Eyes" and the voodoo funk of "Sympathy for the Devil" (wildly overextended), the band's sound is pretty monolithic, and Jack White, Buddy Guy and Christina Aguilera provide enthusiasm but not much variation.

Scorsese tries to bring a documentary angle to the proceedings by inserting archive footage of the band. The sight of their younger selves contrasted with the wizened ghouls of today is, at times, heartbreaking, or otherwise just hilarious. Jagger's head-prefect innocence in the mid-1960s could not fail to raise a smile, and it's interesting to hear how his accent has become more mockneyfied as he gets older. He now sounds weirdly like Nigel Tufnel of Spinal Tap. There's also an instructive clip from 1972 when TV interviewer Dick Cavett presciently asks Jagger if he can imagine playing rock'n'roll as a 60-year-old. "Oh, easily", replies Mick, to much laughter.

These flashback sections are so much the best part of the film, in truth, that one is returned to the live show with a sinking heart. I'm sure the gig meant a lot to the people who were there in New York that night, Clinton included, but for those of us who weren't it carries few resonances and almost no impact.