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As Sunday night’s storm clouds gathered, one of rock’s great polymath-storytellers whipped up a tempest of his own on the stage of the Hammersmith Apollo with the help of his six compadres. Sharp-suited and spivvy, Nick Cave howled and crooned his way through songs of death, sex, savagery and deviancy interspersed with love ballads of exquisite tenderness. Almost as mesmerising as the man in black was Warren Ellis, a Bad Seed of long standing, who thrashed the living daylights out of his violin like a demented Rumpelstiltskin. Periods of finely calibrated restraint were punctuated by spasms of all-hell-breaking-loose. Alone among that generation of rock stars who emerged in the early 1980s, Cave has continued to produce work of sustained variety and brilliance.

Bold decisions are at the core of great artistic directorship. And Tamara Rojo, the ballet star leading English National Ballet, knows that well. Le Corsaire is not the usual ballet classic one craves to see. Yet it makes a splendid addition to the already vast and multifaceted repertoire of ENB. Created in 1856, this work has stood the test of time. Thanks to endless revivals, it has become one of the most manipulated and interpolated choreographic texts. Its current popularity, however, stems from the now legendary revival that the Kirov ballet presented in the West in 1989. Glitzy and star-studded, that staging paved the way for many others, which led to more interpolations and revisitations, often in the name of the much dreaded choreographic philology.

The exhibition The Renaissance and Dream at the Musée du Luxembourg in Paris (until 26 January 2014) explores how artists have wrestled with the furthest limits of the imagination, in forms ranging from the muscular elegance of Michelangelo to the luminous naivety of Lorenzo Lotto. In tackling a subject as inexhaustibly popular as dreams, the exhibition has avoided being either nebulous or anachronistic. Freudian psychoanalysis is mentioned only once in passing, and the paintings are allowed to speak for themselves. What’s more, these artists were not depicting their own dreams. They were plundering from history, myth and religion in a quest for vision unimpeded by time, place or conventional imagery.

Live broadcasts into cinemas have become something of a commonplace, and a welcome one: operas, theatre performances, even radio programmes. But a live broadcast into cinemas of the audience entering another cinema is a new one on me. The idea is part of this year’s BFI London Film Festival, not as an avant-garde experiment but as a way of adding lustre to the closing-night gala: Saving Mr Banks, a sort of biopic of the film Mary Poppins with Emma Thompson as author P.L. Travers and Tom Hanks as Walt Disney (see image).

‘Women spend more money on their ears in pearl earrings than on any other part of their person.’ So said Pliny the Elder, who disapproved of the increasing fashion for pearls in the 1st century. It’s lucky he’s not around now to see the V&A’s new exhibition Pearls (until 19 January), where there are natural, cultured and freshwater ones in abundance (including, at the end of the show, eight buckets stuffed with cheap freshwater ones from China, which produces  — overproduces — more than 2,000 tons of pearls a year).

Britain is still an essentially Victorian country (see Daily Mail for details). So it’s no surprise that we keep returning to the period for inspiration. Victoriana: The Art of Revival at the Guildhall Art Gallery (until 8 December) is a collection of modern pieces channelling the age when corsets were tighter than George Osborne’s purse strings. Many of them pick up on the era’s sinister undertones. The blurb for Dan Hillier’s engraving ‘Mother’ (a woman with octopus tentacles instead of legs, above) talks of ‘prim order barely concealing a dark underbelly of animalistic impulse’. There’s also a wedding cake made from human hair and a wing-back chair adorned with stuffed ferrets.

Of all folk memories the Blitz remains one of the most enduring. In the autumn of 1940 the Luftwaffe strafed London on 57 consecutive nights, leaving (if that is the word) 20,000 dead and whole streets pounded to rubble. ‘You do your worst,’ Churchill told the Hun, ‘and we shall do our best.’ Noël Coward put it another way: ‘Every blitz, your resistance toughening, from the Ritz to the Anchor and Crown. Nothing ever could override the pride of London town.’ London prevailed, and the spirit of the capital was captured in the memorable image of St Paul’s Cathedral standing proudly untouched amid the smoke and fire of a city under nightly bombardment. Francis Warner was only three when Hitler’s hordes came calling that September.

So, there’s this guy called Bob Dylan and, across just seven years in the 1960s, he’d released nine albums that were already legendary. The Times They Are a-Changin’, Highway 61 Revisited, Blonde on Blonde… yeah, you know them all. But then, at the start of the 1970s, came his Self Portrait. With a title like that, it promised to be mythic and definitive, except it wasn’t. It was a pick ‘n’ mix of country standards, concert snippets and Simon & Garfunkel covers. Dylan subsequently distanced himself from this weird confection. But, through these hindsight goggles I’m wearing, Self Portrait doesn’t look half so bad now.

The most paranoid of presidents, Richard Nixon must have been feeling unwell when he allowed three of his closest aides to shoot personal Super 8 footage of their time in the White House. Bob Haldeman, John Erlichman and Dwight Chapin — all of whom later went to prison for their involvement in the Watergate affair — together shot more than 200 rolls of film between 1969 and 1973, the highlights of which form the backbone of a new documentary Our Nixon, and show us a team of go-getting young Republicans you wouldn’t recognise from Oliver Stone’s murky biopic. As the director Penny Lane says: ‘There aren’t any bad guys in home movies.

Venice may be the oldest film festival in the world but it is still breaking new ground. This week film-lovers across the globe will sit down in the comfort of their own homes to watch films that are being streamed live from the Lido. It is the second year of Venice’s Web Theatre; this offers members of the public the chance to buy tickets to stream films  — picked largely from the festival’s Horizons section — at the same time as festival attendees see them on the big screen (www.labiennale.org for details). Horizons, though not the main category in the festival, still has some worthwhile films to watch. Wadjda, the hit Saudi Arabian film, was one of last year’s gems.

Martha Wainwright was keeping it in the family at the Union Chapel in Islington last week. Arcangelo, the singer-songwriter’s three-year-old son, joined her on stage and had the audience eating out of the palm of his tiny hand; the spectral presence of her mother, the folk legend Kate McGarrigle, was never far away; and the evening was peppered with references to intense sibling rivalry with her irritatingly talented brother Rufus. Wainwright stole the show, though. A gutsy set drew mostly on her recent album Come Home to Mama, a paean to motherhood written in the aftermath of her mother’s death and the scarily premature birth of her son. She effortlessly seduced the audience with a combination of whip-smart humour, smutty talk and an endearing line in self-deprecation.

Jewels is everything a George Balanchine admirer could ask for. The sumptuous triptych, set to scores by Fauré, Stravinsky and Tchaikovsky, is a compendium of what Balanchine’s style is about; each part — Emeralds, Rubies and Diamonds — provides unique insights into the subtleties, signature features and inventiveness that inform the art of the Russian master who fathered American ballet. Yet on these shores Jewels is seldom a sell-out production. Unless, of course, it is danced by the Bolshoi Ballet. Comparisons are odious, but seasoned dance-goers could not help noticing that, on Monday, the Royal Opera House was packed to the brim.

Send George Osborne to the Tower, then he might learn that currency manipulation rarely ends well. Coins and Kings occupies four small rooms in a Yeoman Warder’s house on the site of the old mint, which was established by Edward I in the 1270s in response to endemic counterfeiting, coin clipping and general skulduggery. This permanent exhibition progresses through the Middle Ages to Elizabeth I’s attempt to restore confidence after her bankrupt father had debased the currency and caused inflation, riots and misery (on display is an Elizabeth I half pound coin, above). The Reformation saw traces of continental popery being removed from coins, and the crown take even greater prominence as the nation state began to form.

Standing enthusiastically by as a naked man writhes in agony might not be everyone’s cup of tea. But this is the sort of bizarre spectacle that devotees of immersive theatre group Punchdrunk sign up for. Like previous efforts including 2007’s The Masque of the Red Death, Punchdrunk’s latest venture, The Drowned Man: A Hollywood Fable, requires theatregoers to don masks and chase actors down disorienting, low-lit passageways, happening haphazardly upon non-sequential ‘scenes’. Rummaging is encouraged, talking is not. And every individual sees something different. The Drowned Man (playing until 31 December; www.nationaltheatre.org.uk) is a delirious fever-dream, replacing dialogue with dance and abandoning most audience/actor interaction.