John Wilson and his orchestra are something of a modern-day Proms legend, having received rave reviews for last year’s “Hooray for Hollywood” and for the Rodgers & Hammerstein Prom in 2010. Nostalgia is fashionable, and Wilson knows it, but he is not content to rest on his laurels. Last night, he and his hand-picked musicians, together with a superb cast, made a welcome return to the Royal Albert Hall for a justifiably sold-out performance of Lerner & Loewe’s My Fair Lady.

It would be redundant to set out the plot in detail. Everyone knows, whether from the 1964 film or from George Bernard Shaw’s stage play Pygmalion (on which the musical is based) that it concerns one Eliza Doolittle (a Cockney “flaaaahr” girl) and her wish (and ’enry ’iggins’ challenge) that she should become a lady. The parallels with yesterday’ – and today’s – concerns about social mobility are not entirely difficult to see, but nowadays the musical’s appeal really lies in its strong characters, its dry wit, and, of course, its fine score.

A full-scale theatrical production could not be expected, and the BBC’s publicity arm deemed Prom 2 to be “semi-staged”. Beforehand, it was hard to see where the actors would fit in amongst the large orchestra, whose chairs seemed to take up the whole space. It must have presented a formidable challenge to stage director Shaun Kerrison, who somehow managed to make good enough use of the elongated stage to include essential props amongst the seven main characters and 36-strong supporting cast, without arousing the feeling that something was missing. There were never going to be any elaborate backdrops, but some very clever use was made of the fancy lighting screens set up around the back of the stage (by the way, yesterday's pre-concert colour of choice: hot pink). As the orchestra began the overture, the screens changed to show red, ruched theatre curtains, which then changed to a several-times-cloned photograph of whitewashed Georgian terraced houses, and various other scene-setting images as the performance went on.

The list of main characters read like a who’s-who of West End and acting royalty, and their talent certainly matched their standing. Annalene Beechey took the role of Eliza, whose role demands much from the performer as she goes from screeching ladette to refined lady. Beechey had the audience in hysterics with both her East End “Aaaaaoooowww!”s and her affected “Hoooow...doo...youuu...doooo”s, and her gentle singing was as delightful as Julie Andrews’ must have been in the original Broadway production. James Fleet (of Hugo Horton, Vicar of Dibley fame, no less) made an affable, bumbling Colonel Pickering, and Anthony Andrews, best known for playing Sebastian Flyte in the Granada Television adaptation of Brideshead Revisited, was utterly charming as Henry Higgins. Neither was a particularly strong singer, but the nature of their respective roles meant that acting was the more important skill – their comic delivery had the audience howling with laughter several times. Siân Philips's portrayal of Mrs Higgins’ dry sense of humour was spot on, and Jenny Galloway was perfectly cast as the no-nonsense, matronly Mrs Pearce. My favourite, though, was Alun Armstrong's Alfred P. Doolittle. It is not easy to convey drunkenness without going over-the-top, but Armstrong played the drunkard unnervingly convincingly. Julian Ovenden, as Freddy Eynsford-Hill, had a particularly warm and pleasing voice; it comes as no surprise to learn that his previous Proms performances in 2010 gained him a record contract.

This was a performance like no other, partly for its concert-hall setting, partly for the excellent acting and singing, and partly because it occupied a niche that could be appreciated by lovers of the film, musical and play versions alike. Josh Prince's high-camp choreography, along with its perfect execution by the cast, captured the elegance of the ballroom and the Ascot scene (except for that moment), and the ’ave-a-banana, Cockney knees-up spirit of “With a Little Bit of Luck” and “Get Me to the Church on Time”, the latter of which was particularly enjoyable.

The cast was nothing, though, without the orchestra. The ensemble was exceptionally tight; wonderful, because it allowed André Previn's sumptuous orchestral scoring simply to shimmer. Just occasionally, I felt that the music drowned out the singers, but as they were all mic’d up it was perhaps more of a problem for the sound engineers than any insensitivity on the orchestra’s part. It is a real pity that this Prom was not televised, as the entertainment was as much visual as aural.