More than any other film director, David Lynch has always painted pictures with sound. He's miked up air vents to suggest terror, got his actors to rehearse to specific music, and made his songs as important as his characters – whether using original material (written with Angelo Badalamenti) or subverting antique pop numbers.

It's clear that tonight's musical director, David Coulter, understands this. At the front of the stage is a giant log that Coulter saws in half to open the concert. The log is closely miked and drenched in reverb to make it even more sinister. Coulter then takes the same saw and bows it to play a goosebump-inducing version of John Morris's haunting theme to The Elephant Man.

Coulter's impressive seven-piece house band (featuring Terry Edwards on horns and Pauline Haas on harp) can replicate a Catskills cabaret combo, but also lurch into spikier territory. They work through 26 pieces that have featured in Lynch's films, fronted by a variety of guests.

The male singers here are variable. Conor O'Brien performs pretty versions of Blue Velvet and In Dreams, but guitarist David Okumu stumbles through Elvis's Love Me Tender; Mick Harvey mumbles through In Heaven and Ghost of Love, while Tindersticks' Stuart Staples is whispery to the point of inaudibility.

Much better are the female singers. Australian chanteuse Sophia Brous provides a dramatic a cappella performance of Roy Orbison's Crying (as used in Mulholland Drive) and Sycamore Trees (from Twin Peaks), and Jehnny Beth of Savages is an imperious, Brechtian presence. Even more radical are the Japanese New Yorkers Cibo Matto, who stomp noisily through The World Spins and This Magic Moment. But the stars of the show are Liverpudlian trio Stealing Sheep, who turn their Lynch songs into post-punk madrigals, with a stand-up drummer who recalls Can's Damo Suzuki. It suggests that this thoroughly enjoyable tribute might have been even better if the acts had been a little more radical in their interpretations.