Chicago's Ute Lemper is John Walsh's kind of woman. Photograph by Jake Walters
Flagged on every bus, shouted from every hoarding, and pulling in a cool pounds 2 million in advance ticket sales, the newly revived London musical Chicago is a spectacular show, with no fewer than five leads - Ruthie Henshall, Nigel Planer, Ute Lemper, Henry Goodman and Meg Johnson. But from her first appearance in the sublime opening number, "All That Jazz", it's clear that Ms Lemper runs the joint.

Shimmering, blonde and incandescent, she leads the company in and out of a couple of dozen tableaux, as they break up and reform - but despite the swarm of sexy bodies clasping and sundering under the hot lights, you can't take your eyes off her. She strides across the stage in awesome command, a sleazoid Valkyrie in a gold marcel wave. She has a uniquely sexy relationship with chairs, whether sitting on them with her legs spread wide apart or stretching across them in supine languor. She talks like an Illinois traffic cop, laughs like Ethel Merman, tap-dances like Mr Bojangles and pulls faces like Scary Spice. Twenty feet above the stage, she hangs from a trellis by one hand to voice her suspicions that her hated rival (Roxie Hart) may be only pretending to be pregnant to get out of jail, and her grating contempt has the audience in stitches. In "When Velma Takes the Stand", she mimes her subtle tactics for winning the jury's sympathy in court, and the air is suddenly full of flying legs and high-speed vogueing. At the end of "I Can't Do it Alone", she brings a wild, Danny Kaye-style vaudeville routine to a climax by cartwheeling across the stage.

This is not the behaviour of an ordinary human being. And there is, frankly, something freakish about the Lemper phenomenon. You look at Ruthie Henshall, her co-star, and note how talented she is, how well she sings, what a dancer, what stage presence. But then you look at Ute Lemper, and all you can think is: Whaaaat? The many comparisons of Ms Lemper with Marlene Dietrich are slightly off-key. It's more like Greta Garbo has walked on to the stage of the Adelphi Theatre and proceeded to impersonate Josephine Baker's debut at the Folies Bergere.

"There are a couple of moments," she admits coolly, "when I think, my God I'm going to lose my balance, with the high heels and everything? But I figure, when I get it wrong, I get it wrong, OK? When I saw the show on Broadway, with Bebe Neuwirth playing Velma, she'd done 150 performances and the night I saw her, she lost her balance and did a little hop. But the audience didn't know. You can always cover it up."

Feeling like someone interviewing a dervish about step-aerobics, I ask: Is it very demanding, physically? The vast McDonald's-logo arches of Ms Lemper's eyebrows spring an inch higher. "It's scary. When I come out on stage, I have to be so pow!pow!pow! And the adrenalin level is so high, you don't even notice when you hurt yourself. You notice afterwards, of course. You say, Oh shit, I hurt my foot or I tore a little bit of a muscle here, and this adds up when you do it eight times a week. It really is very exhausting. After two shows in a day, I fall into bed. I can't eat, I'm so tired. I'm not 25 any more."

No, indeed, she is now a mature babe of 34, a seasoned chanteuse and transatlantic Euro-diva. Ms Lemper in the flesh, in her prosaic dressing room at the Adelphi with her cartons of Ribena and the noise of kango hammers for company, is thankfully less alarming than the man-eating Velma. Clad in a black T-shirt, a boucle sweater and white jeans, she is relaxed to a Zen-like degree, focused and forthright. Her long face isn't quite as Garboesque as expected, but her lustrous hazel eyes beneath the aqueduct-sized brows flash with spirit.

The Velma in her soul has always competed with the Lotte, the Edith, the Marlene. Although she has performed in musicals for years - she was discovered at 20 by Andrew Lloyd-Webber - she is more at home as a torch singer, embodying the spirit of Kurt Weill and the cabaret composers of the Weimar Republic, who were condemned by the Nazis as "degenerate". She has taken her Blue Angel persona all over Europe and America, to rapturous receptions. So why go back to hoofing with cane and top hat?

"Yeah, it's another world," she says wryly. "But it's not a step back, I think, it's a step in a different direction. An excursion in a different musical genre." She sighs. "Nobody in London knows that I'm a dancer, but everything I do is always with the consciousness of a dancer, the movement and sensibility."

After five years of singing "Falling in Love Again" and "Ich bin ein Vamp", of reclining on pianos and swanning about in feather boas, she was ready for a change. "I was looking forward to not always making my own show. I was getting just a little bit sick of myself," she confesses in her beguiling Westphalia-goes-to-Hollywood accent. "I wanted to be in a theatre company again, to work together with people on stage, sharing the responsibility, playing one part." She went to see Chicago in New York. Then her agent called to ask if she wanted to audition for the part of Roxie, to replace Anne Reinking, the show's choreographer. "So I auditioned. It turned out they didn't need the replacement - but two weeks later, I got a phone call saying they wanted me to open in London, but as Velma."

Lemper and her husband, David Tabatsky, an American actor and comedian, were then touring America with their children (Max, nearly four, and Stella, 15 months) and had resolved to move there from Paris. "We had the house, the school, I'd fixed up all my performances at supper clubs. Then this came up." The family is now happily shacked up in Maida Vale, west London, and Ms Lemper, after two children and without recourse to gymnasia or ballet training for four years, found her leg muscles snapping back into place like steel ganglia. She is a doting mother, passionate about her children, unable to be separated from them for long, and unsentimental about Louise Woodward, the nanny. "She can fry, as far as I'm concerned. That would be fine with me. If she killed the kid, I have no sympathy for her."

While her stage presence suggests a woman who has utterly drenched herself in the conventions of the Hollywood musicals, Ms Lemper will not admit to modelling her Velma on anybody. The rest of us might see bits of Ginger Rogers or even Joan Crawford on stage, but she... "No, I'm not copying anyone. Velma is my own invention. I let her be a little brat. She is naughtee and totally experienced, you know - drink, drugs, men, she's had them all in the bucket, she's a real femme fatale - but at the same time, a little kid, That's the way I see her."

Ms Lemper's English gets more fractured as she warms up. Her conversation is full of impressive neologisms ("when you have children you start to relativise everything") and picturesque metaphors ("in the bucket"). She is trilingual (fluent in French and English) and curiously ambivalent about her mother tongue. In fact, ask about her relationship with her native land, and you get more than you bargained for.

"I don't feel very German at all. I don't speak German, I'm not aware of being German in my everyday life. I'm a European. When I want to say something, I could say it better in German than in any other language - and I count in German for certain dance steps, because that's the only way I'll feel safe on stage. But when I'm in Germany, I don't like it too much. When there are a lot of Germans around, it feels spooky to me. I feel like a foreigner. I just want to run away." Because you think they're hostile? Or philistine? "It's maybe that because I'm so known in Germany, I can't do anything without being recognised. Maybe I feel uncomfortable because I always feel they're observing me".

She was born in 1963 in Munster, a town in Westphalia noted for its smoked ham. On the subject of her childhood, she is as forthcoming as a Trappist clam, but you discover that her father was a banker, that her mother had an opera-trained voice and sang at home, that she herself began piano lessons at nine "and like every other child, I hated having to practise", and that she had a horrible time wrestling with a Catholic education. "The church was such an oppressing power. I couldn't deal with it. I went to confession three times and hated it to death. And the atmosphere in church was very dark, all those old people. It wasn't my world." What saved her was dancing. "When I started ballet classes, this was a really big passion for me. In the ballet, everything was happy, the perfect expression of bigger emotions than everyday life could capture. And then later, the singing came along."

It was in the school holidays, at summer seminars in Salzburg and Vienna, that she discovered Kurt Weill, and his dark and jangled fairground music became her most passionate enthusiasm. At 24, she produced a whole evening of Weill songs. "It was very casual. There was no microphone, people were sitting on the floor, it was a very young thing. It was as if I had to tell the story of Kurt Weill's life, his music, the German period, his exile in France and America - and also the fact that he was Jewish and the way he was treated in Germany, his personal route and the parallel with what was happening artistically. For me, it was a discovery of the whole Weimar period, which is neglected by history. It's kind of non-existent, this period, the whole richness of culture and literature and fine art."

Lemper has become a walking historian of Weimar as well as a Dietrich- style embodiment of its brittle satirical melancholy. "There were all these nightclubs, with names like Megalomania, who would have dancers, acrobats, political satire, drag artists. The republic was basically a shattered time, an economic disaster, in which a little elite of avant garde artists created new dimensions in cabaret and political art. And the music - so jolly and accessible, and then the punch in the face comes." She has managed to incorporate the atmosphere of educated sleaze into her own show, where she regularly picks out "victims" from the audience for a spot of interactive banter. "We talk a lot about sexuality, especially homosexuality, about emancipation, women, the justice system, democracy - a lot of big issues, which are based on the issues of the 1920s but are still classic, and still taboo in a certain way today."

She represents an interesting strain of New German, whose parents were too young to be implicated in Nazism and who themselves feel able to discuss the war without associative guilt. There's a kind of relief about her cabaret career, as though her fascination for certain tunes from a forgotten time has become an act of political redemption. "Through this music," she says, "and this period, I re-considered what it was to be German, and the way the Germans reacted to the Nazis and the Holocaust. It gave me a whole new horizon to live with."

Thinking of the three-time-loser personae adopted by torch singers, from Piaf to Tom Waits, I ask: are performers improved by suffering - or does it just take a little acting? "I don't believe you can really act it. There has to be a deeper... desperation in you to be able to communicate it. You don't have to be an unhappy person. It should just mean that maybe once or twice you have, you know, fallen 50,000 miles under the ground, opened your eyes and found it's pretty dark and messy down there."

Her voice was all bitterness. This falling, I say, would it be the result of a broken heart? "Yeah, stuff like that," says Ms Lemper, declining to elaborate.

She's a busy woman in umpteen media. Last year, she made three movies, all awaiting release. She has a "Best of..." compilation out in the spring along with a second volume of Berlin cabaret songs. But at the moment, she says, she is looking for a gallery to hang her paintings. She's been painting for years and has all her best stuff in storage over here. What are they like? Abruptly, as if in response to an offstage cue, Lemper digs out a copy of her "satirical memoir" Unzensiert (Uncensored), in which many of her works are reproduced. They are not quite what you'd expect - large-scale expressionist canvases full of grotesque figures, uncomfortable sexual couplings and traumatised children. "They're... very wild," says Lemper, fondly. "Definitely influenced by the 1920s." She indicates a traumatised group portrait entitled Krieg (War). "This is very frightening, I think, all these sad children looking at you..." And the deeply strange, prodigiously gifted, heart-scalded Germanophobic dancing queen fastidiously turns the page, as if to shut off the horrors of her own imagination.