Muse, Wembley Stadium, London

They're loud, baroque and very very serious - Muse are right at home in the new Wembley Stadium

If you build it, they will come. This, to paraphrase the famous line from Field of Dreams, was the thinking behind Muse's audacious decision to play the new Wembley Stadium. Which, being considerably larger than Kevin Costner's baseball diamond, was quite a risk.

For one thing, it was a leap of faith to assume that the stadium would ever be ready in time. (The band that was originally touted to open the venue was The Darkness, which gives you some idea of how long the farce of its construction has been dragging on.) For another, while Muse may be big, nobody seriously thought they were that big.

It's become a wide-spread truism that Muse are "amazing live, even if you don't like the records", and recent festival appearances have sealed that word-of-mouth reputation among the gig-going public. And so, for a long time, it seemed that the Teignmouth trio would indeed have the honour of reopening the stadium as a music venue. Eventually, they were gazumped by George Michael who snuck in a week earlier - but he managed only one night.

Muse have filled the 75,000-capacity ground not just once, but twice over. In a brilliant tout-confounding trick, they announced a second date immediately after the first had sold out, rendering the shady entrepreneurs' investment all but worthless (a popular move, given that a music magazine poll recently voted ticket touts as the most hated people on earth, comfortably ahead of paedophiles and warmongers). This is the second night, and but for a few diagonal stripes of restricted-visibility seats, it's another sell-out.

The Wembley experience leaves much to be desired. As football supporters attending the recent England games, play-offs and FA Cup final have reported, the catering is outrageously overpriced. Sunday dinner for me involves spending £8.40 for a pie so hard and so hot that the plastic fork-prongs which do not snap on impact with the crust actually bend Uri Geller-style when they reach the molten heat of the filling, and a Coke which, conversely, is sold at room temperature.

That's if you get there at all. The much-vaunted transport links haven't improved anything like enough. The Metropolitan Line has chosen today to suffer a nervous breakdown, and it takes one hour and 35 minutes to get there, and another one hour 15 to get home. (I live in north London.) An emergency fleet of London buses has been drafted in to carry away some of the post-gig exodus, and Bobby Moore Way is patrolled by police horses (to deal with Muse fans?).

Once you do step inside the arena, its sliding roof partially closed to provide shade (and to contain the acoustics, something which this venue now does well), and hear the galloping spaghetti sci-fi of "Knights of Cydonia", you realise that it's so right that Muse are doing this. Muse were, in both senses, conceived to play here. Even when they were still touring the civic halls, there was always a scale about Muse, an unsmiling ludicrousness, daring you to laugh at them, and just waiting for a setting like this.

It's not that they don't do "intimate". Tonight, their version of Nina Simone's "Feeling Good", and their own "Unintended" show that they can hold an audience rapt with the quiet stuff. But it's when Matt Bellamy leans back, rocks out and the light show goes into overdrive that Muse come into their own.

This is accessible prog: the unique baroque'n'roll kick you get from hearing classical piano overtures giving way to dirty rock riffing. It helps that they know how to write a pop tune (or, if they can't write one, borrow one). "Plug-in Baby" is a supercharged reanimation of Air's "Sexy Boy", and "Supermassive Black Hole" is a spankingly great Prince rip-off.

Muse are one of the few bands where, the farther you get away from them, the better the view. And that's not to say they're ugly: the pixie-ish Matt Bellamy looks spiffing in his flared scarlet suit. But up close and personal, you simply don't get the full effect. The person in the helicopter circling overhead - probably an indifferent traffic cop - has the best seat in the house.

On the stage around them are half-a-dozen satellite dishes, doubling as spotlights, scanning us slowly and sinisterly with eyeless menace. In the empty stand behind them are a dozen barrage balloons, illuminated from within. Peering out into the world, and simultaneously keeping it at bay: it's an evocative echo of the modern condition.

Am I reading too much into Muse? Maybe. What are they saying? In literal terms, not a lot: it's just "All right Wembley, how ya doin'?" (who among us wouldn't love to say that?) and some words about what an honour it is to be here. And their lyrics are always left sufficiently vague to support any number of interpretations.

However, when the chorus "Together we're invincible" is accompanied by footage of protesters taking on helmeted "Pulis" in a foreign riot, it stops sounding like an American-style "there's no 'I' in team" motivational platitude, and gives you some idea of whose side Muse might be on.

They built it. We came. Now all we have to do is get home.