Someone once said of Orson Welles that, yes, he was self-indulgent--"but what indulgence, and what a self!" The same applies to Mandy Patinkin, the Chicago-bred singer-actor famed for his appearances on Broadway (Evita, Sunday in the Park With George) and in films (Yentl, The Princess Bride). Returning with the same show that he performed at the Goodman Studio Theatre two years ago, Patinkin transforms the showtune concert into a virtuosic and often tremendously moving act of dramatic self-exploration. Sentimental chestnuts like "And the Band Played On" become delicate studies of youthful erotic discovery and the wistfulness of old age; the vaudeville classics "Brother, Can You Spare a Dime?" and "Sonny Boy" turn into devastating confrontations with homelessness and AIDS; the macho posturing of "Soliloquy," from Carousel, falls away to display aching vulnerability. Always convincing in his different characterizations, Patinkin nonetheless brings an unabashedly personal attitude of questioning to his musical monologues, exploring and criticizing his own conflict between nostalgia for the sure solutions embodied in classic musical comedy and the alienation and uncertainty of modern life. And he sings like an angel, albeit a fallen one. Shubert Theatre, September 9 through 26 (22 W. Monroe, 902-1500). (Preview September 8; Tuesday, 7:30 PM. $21.) Tuesdays-Thursdays, 7:30 PM; Fridays and Saturdays, 8 PM; Sundays, 3 PM; additional matinee Wednesday, September 16, and Saturday, September 26, 2 PM. $14-$35.