Esben and the Witch at The Knitting Factory
Esben and the Witch deserve to hold the world record for Googlability. You don't even have to Google the whole band name, just "Esben" will do. Take that obscure Danish fairy tale and everything else in the world named Esben!
Their music is atmospheric, intense but not necessarily loud. In fact the use of quieter moments in their songs is one of their distinctive features. A couple of songs are almost dirges. They play plenty of rock songs as well, but even in those more energetic songs the lyrics are wistful and pessimistic.
It's all very dark stuff, though I hate to call it gothic given that the band has none of the obvious connections to that subculture like the style of dress or the explicit religious imagery. Goths would certainly enjoy this music, though. Interesting that they have chosen to tour with a hard rock band (namely Heliotropes). Perhaps they are explicitly trying to avoid being stereotyped on their first(?) U.S. tour?
As a side note I do recommend reading the fairy tale "Esben and the Witch" on Wikipedia. If "Engrish" is the word for bad Japanese-to-English translations then what is the word for bad Danish-to-English translation? Danglish? Read this and inspire your creativity.