You wonder how on earth Sufjan Stevens is going to make Illinoise, an album made with a substantial supporting cast of other musicians and on which Stevens himself plays something like 20 different instruments, work live. It is unequivocally the year's most beautiful music, luscious to the ear and recalling Walt Whitman in its visionary scope; the second in Stevens' planned series of 50, each taking a US state as its theme.
The band come onto stage dressed as cheerleaders and carrying orange pom-poms. This is not something you are ever going to see Coldplay doing. Many of the songs are titled for specific towns or cities, and each is introduced with its own cheer: Jacksonville, for example, is spelled out in hand signals, Village People-style. Initially, Stevens is nervous, but there is a let's-do-the-show-right-here atmosphere which carries everyone along. All six other band members also sing backing vocals.
Stevens, wide-eyed under the lights, burdened with fearsome good looks and with a single, dark kiss curl protruding from beneath his baseball cap, sings with a subtle, sugared coo. In John Wayne Gacy Jr, he recalls the serial killer's boy victims: "Oh my God, are you one of them?" he asks, and "God" is strung out with heart-stopping delicacy. It is an astonishingly sophisticated and deeply moving song. Stevens describes the stripping of the bodies as if it were a benediction, humanising the criminal without lessening the horror of the crime. Finally, as the other instruments fade out, he sings: "And in my best behaviour, I am really just like him. Look beneath the floorboards for the secrets I have hid." The hush is almost tangible.
Everything about this band makes you realise how little effort most musicians make. Stevens is that incredibly rare thing: a songwriter capable of looking outside himself for inspiration, of not simply pushing a few buttons and hitting default melancholy. Yet the songs of Illinoise aren't simply entries in an encyclopedia; they're personalised - living, breathing, wildly affecting.
Similarly, Stevens draws on the widest possible range of American musics - Appalachian folk, Philip Glass, musicals, even, on They Are Night Zombies, a low-slung funk to raise the ghosts of Illinois' ghost towns. To feel a capacity crowd willing him to succeed in his singular, magnificent enterprise is a wonderful thing.
· At Shepherd's Bush Empire, London W12, on Monday. Box office: 0870 771 2000.