When Sean Penn appeared on our screens as surfer dude Spicoli in 1982's Fast Times at Ridgemont High, it would have been difficult to predict the kind of direction his film career would go. Since then, he's gone on to prove himself as being one of the most watchable actors of his generation.

Where most of his peers might think about easing off the creative gas in their careers, Penn, forty features on, still appears to be eager to play roles with an edge. In director Paolo Sorrentino's film, Penn goes all out to bring life to a character that you just wouldn't expect him to play.

Although his musical career finished some time ago, former rock star Cheyenne (Penn) still feels the need to look the part. Needless to say, a 50 year old Goth manages to stand out, wherever he may be.

Despite being American, Cheyenne has lived the last few decades in Dublin, with his fire-fighting wife Jane (Frances McDormand). The music part of his life is no more, since a tragic incident involving a couple of fans of his band Cheyenne and the Fellows; instead, he hangs out with a young Irish Goth Mary (Eve Hewson), and casually flitters his royalties on the stock market.

When he gets news that his father is ill, he decides that now is the time to return home to the family fold. Back on home soil after an absence of twenty years, he learns of a Nazi who made his father's life hell in the concentration camp. Cheyenne is so moved by this tale, he decides to track this man down – who he believes is now living in the US – and take revenge on him for what he did to his father.

Putting his problems with travelling to one side, Cheyenne heads off with his wheelie luggage in hand, on a solo road trip of great discovery.

I'm sorry Sean, I just can't see slope sliding taking off as an Olympic event.

Sorrentino's film is the perfect visual definition of a US indie film; it is jammed full of vibrant, dysfunctional characters, who are all struggling with various aspects of their lives, to a soundtrack provided by David Byrne (with lyrics supplied by Will Oldham, AKA Bonnie 'Prince' Billy).

The director also shoots the film in typically indie fashion too; locations wouldn't look out of place as interactive art installations, and the beautifully shot landscapes could easily double as arty snaps taken by any cool photographer du jour. And just to confirm its indie credentials, it also has a role for indie king Harry Dean Stanton.

The script feels more like an epic poem. It can fell a little wayward in places, but that may be purely down to the artistic temperament of its Italian writer and director, as well as the fact that this is his first English feature.

There's no escaping Penn's beguiling performance though; his Goth appearance may well simply be a nod to The Cure's Robert Smith, but the fragile, disquieting persona under the wild hair and pale make-up is all Penn.

The only thing the film lacks is tangible warmth; it spends so much time being so incredibly cool that it can come across as being slightly aloof. But as cinematic art goes, this is impressively easy on the eye.

Still, with a number of imposing performances (from the likes of Judd Hirsch and Kerry Condon), incredibly framed shots that are nothing short of stunning, and Penn delivering the goods in yet another remarkable role, mean that This Must be the Place must be considered a master class in modern indie filmmaking.