Badly Drawn Boy, Bloomsbury Theatre, London

"Sometimes it's hard to know where to start," opens Damon Gough, aka Badly Drawn Boy. So he begins at the beginning: with "The Shining", the first track off his first, Mercury Prize-winning album, The Hour of Bewilderbeast, recorded a decade ago.

But it's also the end of things, in a way; this is the last night of his tour, and Gough appears both grateful and grumpy. "I'm glad it's over, but I'll miss it when it's gone," he explains. Later, he'll inform us that he hates being on stage.. As a few sad-looking balloons drift around his feet, the gig feels like the end of a party, when someone picks up an acoustic guitar and strums a lovelorn tune, and you switch from booze to cups of tea (he has a self-branded mug alongside his pint).

But Gough's voice still has the same warm-fuzziness that won hearts in the first place, wrapping you up like a scarf before those bittersweet lyrics hit you. "When I play on my own, a lot of songs are quite sad," he says, before drily offering one about a suicide note to "cheer things up".

"It wasn't easy to write, which is why it's shit," he says. Self-deprecation – only sometimes in jest – is a running theme, but this track, the moving "A Minor Incident" from the About a Boy soundtrack, is one of his best.

Gough seems unduly hard on himself – he gets so annoyed that the jaunty "All Possibilities" was used in a Comet advert, he abandons it halfway through; and despite offering to take requests, when they come for the popular "Pissing in the Wind" he swearingly obliges before ranting about how "the only way I can progress as an artist is by doing what I need to do, not what people want."

He's joined by a band for material from his new album, It's What I'm Thinking, which sounds less sludgy and more catchy live.