Madame de Sade, Wyndhams, London<br>Kafka's Monkey, Young Vic, London<br>The Last Cigarette, Minerva, Chichester

The Marquis de Sade couldn't get enough of painful atrocities, and we are duly regaled with accounts of his sadomasochistic binges in Yukio Mishima's costume drama, Madame de Sade – penned in 1960s Japan, set in 18th-century Paris, and now inflicted on London's West End. And yes, it's torture! This is not the obscure gem everyone has been anticipating in director Michael Grandage's star-studded Donmar-at-Wyndham's season. It is a lavishly dressed-up piece of crud.

Think Les Liaisons Dangereuses, minus the liaisons. Obeying neoclassical rules of seemliness, nothing shocking is shown on stage. Unless, that is, you count the sight of our pint-sized national treasure, Dame Judi Dench, as the Marquis's mother-in-law, so smothered in ruched silk and a pyramidal wig that she looks like a morally outraged Walnut Whip.

Does she hope to escape the monster's clutches by masquerading as confectionery? Any sort of Whip is an unwise choice, one fears, as Frances Barber's dissolute Comtesse de Saint-Fond thwacks her riding crop against her panniers and describes the notorious aristo's latest round of flagellations.

Madame de Sade is, in fact, mind-numbingly tedious. Next to nothing happens. The Marquis himself never materialises. Instead, a handful of ladies – including Rosamund Pike as his devoted wife, Renée – stand around looking glazed in a silver-gilded mansion. Holding forth in purple prose about the absentee's sexploits, their tone is often incomprehensibly adoring. He has no fangs, she cries, "only a whip, a knife, and a rope ... not all that different from the instruments of beautification we women use – the looking glass, powder, lipstick." Excuse me?

But don't imagine there's to be any lucid debate. Dench half-shouts her ripostes as if persuaded that it'll all make sense if she just declaims loudly enough. What's really disturbing is that Grandage's audience sit politely swallowing such codswallop. Adam Cork's desperately grandiose sound score – with blasts of cod-Michael Nyman and phantom whinnies – seems designed to drown out the soft rustle of punters having the pants bored off them, and of quality actresses quietly kicking themselves, under their beautiful frocks, for hitching their talents to this garbage.

What a relief to move on to the riveting satire and melancholy of Kafka's Monkey. This is a gently lyrical adaptation by Colin Teevan of Franz Kafka's A Report to an Academy. A monkey-turned-man surreally gives a lecture, ruminating on how he has progressed up the ladder of so-called civilisation, apeing the rum-swigging captors who slung him in a cage below decks.

It is not freedom that he has gained, he carefully insists, but the only way out. The allegory, if ultimately inconclusive, is subtly shifting. Maybe it's about racial imperialism, class, even women in trousers.

In an electrifying tour de force, the physical-theatre actress Kathryn Hunter plays Red Peter, the semi-assimilated simian, in white tie and tails and a large bowler hat. Tottering in with stooped knees and a wildly spinning double-jointed shoulder, she's simultaneously like an aged vaudevillean and a baby chimp, her dark eyes wide with enquiry in her scrumpled raisin of a face. When she raises her bowler, the hair's a hilarious tuft: half orang-utan, half Stan Laurel. Sometimes she dangles from the walls, eyeing us upside-down, or grooms a giggling audience member for fleas.

This is inspired zoological clowning and poignantly humane, punctuated with fits of quivering fear and rage as Peter remembers his cruel incarceration. It is a beautifully punctuated work, director Walter Meierjohann creating surges of tragedy and comedy on a near-bare stage.

Sir Richard Eyre made a welcome return to the theatre last week too, with his staging of The Last Cigarette: an adaptation of the late Simon Gray's wonderfully rambling Smoking Diaries and his last journal, Coda, in which he confronted his lung cancer. Eyre's production is splendidly fluid and full of humorous life. Having Gray played in triplicate – by Nicholas Le Prevost, Jasper Britton and Felicity Kendal – means the author can chat and quarrel with himself, and the trio can multi-task as everyone from his parents to Harold Pinter to preening doctors. Le Prevost is outstandingly droll, morphing into a smug chipmunk of a consultant, though Kendal can be excessively perky. I missed the touching one-to-one intimacy of the books, but this is also a poignant memento mori. Gray's hangdog face floats in the pitch black above the stage: a wraith-like image in monochrome that keeps melting, like smoke, back into the darkness.

'Madame de Sade' (0844 482 5120) to 23 May; 'Kafka's Monkey' (020-7922 2922) to 9 Apr; 'The Last Cigarette' (01243 781312) to 11 Apr