Sufjan Stevens, Shepherds Bush Empire, London

Sufjan Stevens and his band the Illinoisemakers bound on to stage in cheerleading costumes, a wide-eyed parody of young Midwest Americans. Stevens' ongoing project to record an album about each state of the Union (the current Illinois is the second) is similarly, naively optimistic. The pom-pom-wielding, Fifties image fits, because the music he plays tonight is Americana in the term's original sense. This isn't rock'n'roll at all, but the music of forgotten European immigrants and small-town marching bands.

Stevens conjures a world not only pre-rock, but pre-First World War, America in its isolated, primal state. From this unfamiliar vantage, he proceeds to lure us into an Illinois of serial killers, superheroes and his personal memories. At times it feels like a school pageant; at others, like something much darker.

Stevens' banjo strums are the only ties to the hillbilly tradition that led to rock, one frail folk strand amid martial drum-rolls, school band brass and classical piano. These unfamiliar rhythms are carried by pretty tunes and Stevens' po-faced good humour, which sweeps the enthusiastic crowd along. There is much laughter as pom-poms are waved, the better to poke gentle fun at the pretensions of towns such as "Jacksonville" ("the Athens of the West"). But this also sugars the pill of Stevens' deeply serious feeling for his country. "Jacksonville" sees him sing: "I'm not afraid of the black man running/ he's got it right, he's got a better life coming." A New Orleans brass swagger and flash of electric guitar send these lines resonating into America's racial undertow. "Casimir Pulaski Day" then roils with muddled emotions and heightened adolescent sense-memories, as Stevens keeningly cries: "I found out you had cancer of the bone," before huskily bowing to "the Lord".

The crowd are still laughing along to the jolly piss-take Stevens seems to be presenting when "John Wayne Gacy, Jr" stalks into view. Taken as a riverside folk song, the tale of Illinois' most infamous mass murderer goes through me like a ghost. "They were boys," Stevens despairs of his victims, before describing the killings, creating a moment that leaves everyone silent. "I am just like him," Stevens cries, his sympathy total.

The closing flourish of "Chicago", in which Stevens dreams his way into that city, even as he imagines "freedom from myself and from the land", then sums up his transcendent provincialism: strange, local emotions we've all felt tonight.