Dances of Vice is apparently a series of shows in NYC. This was their second http://dancesofvice.com/phantasmagorey.html event. The show started with the Ghost Train Orchestra (quite good), then a bunch of dance/performance numbers, an audience "fashion show" decided by trivia questions, and finally a fashion show by Purevile.

I got some video of the orchestra and a dance number:

Phantasmagorey II