On opening night of last month’s Chicago Cabaret Convention, Colleen McHugh nearly stole the show with her bravura rendition of Edith Piaf’s “Hymn to Love” and comically melodramatic take on Gloria Gaynor’s “I Will Survive.” But in her club act at Davenport’s, Songs of Self-Delusion, McHugh opts for a subtler style, deftly balancing understated poignance and wry irony. An unusually expressive performer who’s accomplished in improv as well as cabaret, this Second City alum breezes through a set of tunes about sexual fantasy and emotional avoidance. Though there’s an occasional diva moment (Jerry Herman’s “I Don’t Want to Know”), the evening is dominated by the laid-back dark humor of such songwriters as Randy Newman (“Better Off Dead,” “Gainesville”), Robbie Fulks (“I’ve Got to Tell Myself the Truth”), Johnny Mercer (“Talk to Me Baby”), Francesca Blumenthal (“The Lies of Handsome Men”), and Jim DeWan (“You Wouldn’t Do That to Me,” delivered with a quietly stunning mix of anger, pain, longing, and bemusement). Less successful are a couple numbers in which McHugh crowds the small stage with two backup singers, who help her put on makeup and a boa in Jerry Herman’s “Mascara” and later don berets and fake mustaches for a gender-bending group arrangement of Jacques Brel’s “Madeleine” (the song is much funnier as a solo). These bits might work in a theater, but in a nightclub they feel cluttered; McHugh is at her best when she simply stands still and sings, letting pianist Andrew Blendermann’s sensitive accompaniment propel her through deeply felt, quirkily intelligent reflections on the pitfalls of romantic love. Saturdays, April 20 and 27, 8 PM, Davenport’s Piano Bar & Cabaret, 1383 N. Milwaukee; 773-278-1830.