What's at a circus? Excitement, exotica, daring exploits, color, humor, a variety of events all happening at one time. Since those are the very qualities of Henry Threadgill's new band, he's named it Very Very Circus. Surely it's the only jazz septet in History with two, count 'em two, tubas; the other players are two guitarists (including the promising Brandon Ross), a drummer, trombonist Curtis Fowlkes, and composer Threadgill, with his collection of woodwinds. Unique combinations of sounds come naturally to Threadgill, who used to lead a four-bamboo-flute-four-bass ensemble when he lived in Chicago in the 70s. Since then his trio Air and then his Sextet have made the rest of the world acknowledge that he's among the most adventurous and imaginative of jazz spirits (something we locals have known all along). The music of Very Very Circus can be fast and fiery with Afro-Latin rhythms, or a briar patch of prickly sounds and lines, or intense with free harmony and arhythmic space, all of it acquiring weight from the deep blues- and gospel-etched sounds of Threadgill's own alto and tenor saxes. This concert, sponsored by the Jazz Institute of Chicago, is a stop on Very Very Circus's coast-to-coast, 43-day barnstorming tour; along with club and concert gigs, Threadgill wants to play at a veterans' hospital, churches, a skating rink, a factory. As always, he's taking modern jazz to places it's never been before. Tuesday, 7:30 PM, Simpson Theatre, Field Museum of Natural History, Roosevelt at Lake Shore Dr.; 427-1676.