The Residents, Royal Festival Hall, London

The world's most famous anonymous band (if that's not too much of a contradiction in terms), The Residents, returned to the UK last week with their new show, Demons Dance Alone, as part of the Royal Festival Hall's brief art-rock festival, Ether.

Renowned for tackling Grand Themes with shoestring-budget staging, previous Residents shows such as Cube-E (a three-act operetta depicting rock'n'roll as the miscegenate offspring of hillbilly music and rhythm and blues) and 1999's Wormwood (a grisly song-cycle of Biblical horror-stories) used imaginative lighting techniques, costumes and ballet dancers to animate their songs. Demons Dance Alone was no exception. If anything, the portable lanterns and glorified shower-curtain set looked even cheaper than usual, while the musicians' shabby monkish robes and frontman's stylised plastic turban seemed a poor substitute for the band's trademark top-hatted eyeball-heads.

The theme this time concerned the unavoidable isolation of the mentally troubled, the way that our demons are necessarily as private as our pains, whether they be those which drive us to cruelty and crime, or those which drive artists like The Residents to the aesthetic margins. To follow the path least trodden, they imply, is not really a choice at all, but a compulsion, bordering on illness.

With the four musicians – two keyboard players, a seated guitarist, and a virtuoso electronic percussionist – clustered together in darkness stage right, most of the space was occupied by male and female vocalists/dancers and a third prancing red demon, whose main function was to illuminate the two singers' masked countenances with lanterns as they played out a series of tragi-comic psychodramas about sexual obsession, eating disorders, pyromania and loneliness. The Residents' usual post-Zappa musical mannerisms were present in abundance – lots of puttering marimba, avant-rock guitar, and wonky, poignant melodies – while the lyrics featured such typically absurd lines as "Until she was bitten/ By an infected kitten" and "If I hadn't been so reckless/ When I lost my other leg".

This last couplet came from the show's most haunting song, "Life Would Be Wonderful", a wistful reflection on lost possibilities. And in the middle came the show's most personal moment, when the frontman told how, in Louisiana in 1965, he and his friends helped James Brown back to the freeway after a show. They sang the song twice, with different lyrics reflecting different characters' viewpoints, then a third time at the end of the show to present the band's own rueful viewpoint: "If we had a major label/ And a nice five-figure deal/ If we weren't just ageing hippies/ With misguided fantasies", etc. Ah, but then they wouldn't be The Residents, surely?