Pinch me. Hours after the Bavarian Radio Symphony Orchestra’s second Prom of the season ended, I’m still floating on air somewhere high above South Kensington, grinning broadly at their outrageous performance of the Rosenkavalier Suite. With Yannick Nézet-Séguin practically hugging the music, arms drawing the players into his embrace, the Bavarians waltzed and whirled giddily, the delirium tumbling out into the Royal Albert Hall to infect the audience. Richard Strauss’ love letter to Vienna concluded a quite extraordinary evening.

Credit to the BRSO’s chief conductor, Mariss Jansons, sadly indisposed but handing the baton to Nézet-Séguin, for devising such a splendid programme. Turning the usual concert menu on its head, we started with a meaty symphony, followed it up with a concerto, then ended with the hors d'œuvre, albeit lathered in enough whipped cream to act as a calorific dessert.

Sibelius’ First Symphony was programmed as one of the season’s “Henry Wood Novelties”, works which the festival’s founder-conductor introduced to the UK at the Proms. In this case, Wood conducted Sibelius’ First in 1903. It’s the most Tchaikovsky-influenced of his symphonies – the Grand Duchy of Finland was still very much part of the Russian Empire – and the icy chill of the north often comes wrapped in a fur muff. After the softest of strings to support an achingly phrased clarinet solo, Nézet-Séguin coaxed the BRSO into a noble account, full of epic grandeur. This was an unrushed performance, the Andante a slow burn, the conductor – leaning forward, attentive to dynamics – eventually unleashing the rock-solid brass. The Scherzo’s cheeky seven-note motif ricocheted impishly from section to section, while the finale – launched attaca – plunged us into the lush string theme, throbbing and sighing.

Nézet-Séguin has recently recorded Prokofiev’s two violin concertos with the scheduled soloist, Lisa Batiashvili, but last week she became another casualty, which resulted in Gil Shaham making his first Proms appearance since 2011 (when his concert with the Israel Philharmonic was disrupted by protesters). In the solo opening to Prokofiev’s Violin Concerto no. 2 in G minor, Shaham drew nutty sweetness from his 1699 “Countess Polignac” Stradivarius but with enough bite to attack the work’s gnarlier moments with sweeping flourishes that drew his bow far into the air. The Andante assai, where the violin soars weightlessly above staccato clarinet ticking, was simply gorgeous, sentimental but not too syrupy. The coda, where the violin and clarinets swap roles, pizzicato supporting treacly woodwinds, was charmingly done. With his beaming smile, Shaham’s amiable presence was a delight, seemingly unwilling to take a solo bow, continually applauding his colleagues. Nézet-Séguin had to practically drag him forward to play a Bach encore.

But it was the Strauss which was the pièce de résistance, a reminder that Munich is just four hours west of Vienna. The Bavarian horns whooped orgasmically in Octavian’s bedroom romp with the Marschallin, string portamentos moaning in ecstasy. That pretty much went for the audience too in a performance that swerved between swooning sighs and priapic vigour. Nézet-Séguin was the chief tease, deliciously holding back the third note of Baron Ochs’ waltz. Naughty, but very nice.

A cold shower was definitely required and we were plunged back into the frozen north with Sibelius’ Valse triste, tenderly danced. Yep… still floating.