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Proof of Faithfull’s stature can be found in the A-list collaborators on each of her albums. The raspy singer’s latest effort is no exception. From the dark, dance-oriented “Sex with Strangers” with Beck and the dreamy “Wherever I Go” with Smashing Pumpkins’ Billy Corgan to the brash, autobiographical “Sliding Through Life on Charm” with Pulp’s Jarvis Cocker and the disturbing title track with Blur’s Damon Albarn, this is ambitious, engaging stuff. Not for the faint-hearted.

The High Priestess of Freak is looking suspiciously like a Volvo Driving Soccer Mom. Dressed in a denim shirt, track pants and running shoes, with only a white, fun-fur cowboy hat hinting at her outlandish style, Macy Gray arrives at a studio in Burbank, California for a rehearsal with her seven-piece band. She’s late and her group has already run through most her repertoire. But the singer doesn’t seem the least bit concerned. Instead, Gray plonks herself down on a couch, curls her long, lanky frame up at one end of it and hides beneath the wide brim of her hat, nodding occasionally along to the music. She seems bored or at least tired—which would be entirely understandable, given that she’...