Yes, this is a great song, McKennitt is a great singer and this is a great performance. I just posted the studio version of this song on another site the other day.
McKennitt writes songs based on Celtic and British history and mythology. One gets the image of kings and castles and knights riding through the foggy moors. If you look at the video Don posted you will see some odd looking instruments. These are instruments that were used in the middle ages in the British Isles.
Here's a studio version of The Mummer's Dance.