Group shows can be strained: the rubric can be so narrow that it has to be stretched to accommodate the artists at hand. That is one reason why Haunch of Venison's new show, Mixed Media, is so pleasing: it features contemporary sculpture with an emphasis on the varied materials in use today, a capacious but not unlimited mission. The other reason is that the work is just damned good.

Like a bleached Mount Parnassus for the gods, pouring linen down steep slopes in foaming white rivers, streaming white curtains up into heaven, few stage sets I’ve seen for a dance piece have been as captivatingly gorgeous as Es Devlin and Bronia Housman’s mountainous creation for Russell Maliphant’s new work. The dancers too are draped in white like gods - or statues to be unwrapped from dust-sheets. The visual metaphors cunningly overlap, for this is a work in which Maliphant intends homage to the art of sculptors, notably the French neo-classical rebel, Auguste Rodin.

In one small room of the Freud Museum, which was once the home of Sigmund in the last year of his life, are the works Jane McAdam Freud made in the final months of her father’s life. Below an imposing photograph of Freud the elder, the progenitor of the clan, are two detailed, tender sketches of Lucian in profile. In the right sketch the dying artist stares resolutely ahead, his gaze, coupled with the firm set of his jaw, capturing a sense of absolute stillness. The left sketch shows the artist now more gaunt, eyes closed, in death, we imagine, or possibly just asleep.  

Empty vessels make the most noise. That pithy old aphorism floated into my head a scant few minutes into the much-heralded new work by the undoubtedly talented, but here way off-beam, Hofesh Shechter. And again, a few minutes later. And again, and again, as something like 200 drummers filled the stage and bashed away in earnest polyrhythmy. At the end of the 80 minutes my watch was worn with checking.

That Anselm Kiefer is one of the great elder statesmen of contemporary art goes without saying. His work’s precise relevance to now is less clear. In the early 1980s, when he sprang to fame as part of the New Image Painting phenomenon (with Schnabel, Baselitz et al), the Berlin Wall was still up and the post-Holocaust Teutonic angst that Kiefer has relentlessly mined felt far more immediate and problematic than it does today. The great Monetarist showbiz-art wave hadn’t yet broken.

The Scottish National Portrait Gallery has been transformed with a £7.6 million facelift. As a first-timer I confess I don’t have a clue what it looked like before, but I am assured it was dark and gloomy and had the air of a building cast aside in favour of Edinburgh’s better attractions.

In his catalogue essay, Peter Osborne discusses the meaning of epithets such as “new” and “contemporary” when applied to current art, yet no one in this year’s New Contemporaries seems to be striving to make work that is “new”, “different”, “radical”, “challenging”, “avant-garde” or even “eye-catching” – to name just a few of the attributes supposed to make an artwork significant, relevant or desirable.

Until recently, on YouTube, you could watch Paul McCarthy and Mike Kelley’s Heidi (1992), one of the funniest and most transgressive videos ever made. In a Swiss chalet, the children Heidi and Peter are being “educated” by their abusive grandfather, who freely indulges his propensity for bestiality, incest, onanism and scopophilia. Played out with the help of masks, inflatable dolls and numerous props, life in this dysfunctional family reveals both childhood innocence and parental responsibility to be a myth.

You might think that a sharp-talking, cross-dressing potter-artist with a teddy bear obsession would present a challenge to the British public. Not a bit of it. Grayson Perry is music hall, he’s pantomime – there’s even a touch of Brideshead in the teddy bear thing. One of Britain’s most intelligent and articulate artists, Perry was barely in the public eye before he was hived off into that comfort zone the British reserve for the loveable eccentric.

Art about art is one of my favourite kinds of art. Paintings, drawings, sculptures, films - works of art which talk about what art is, what the image is, what art can represent and what it can't - all appeal. It is not just a picture of some prostitutes and some African masks - it is Les demoiselles d'Avignon by Picasso and it blows apart the boundaries of painting by cramming three dimensions into two. And then there is Frank Stella, in a new survey of his career at Haunch of Venison, the ultimate modern artist-about-art - and I'm left cold.