The New Yorker had a nice article about and photo of Will Oldham this week (or last week; I am always behind). If you don't know anything about him, you can read the article and get a pretty good sense. I have been behind also, I must confess, in following his music. I can't believe that this cover of the week came out in 1994 (though it could have come out 40 or 100 years ago. Or today). It is from an EP called "Hope" and I think I scammed it from the guys at Domino records in London around that time. It features Sean O"Hagan on the piano, another musician you might be interested in.
When he recorded this song, Oldham et. al. were using the name Palace Songs, though you might also know him as Bonnie Prince Billy, Palace, Palace Music, etc. I wish I was even 1/8 as enigmatic as Oldham. I'm a f-in open book.
This has been a favorite of mine for a long time and was on my to-do list of covers and I moved it way forward on the occasion of this New Yorker piece.
Agnes, Queen of Sorrow (MP3)
My review of the song from years back, on allmusic.com.