It's Burlesque

Addicted to Burlesque(movie) after watching it. Now, I know a new term.

Burlesque -

An artistic composition, especially literary or dramatic, that, for the sake of laughter, vulgarizes lofty material or treats ordinary material with mock dignity.

Source from internet, those performers, usually female. They create elaborate sets with lush, colorful costumes, mood-appropriate music, and dramatic lighting, and may even include novelty acts, such as demonstrations of unusual flexibility, to enhance the impact of their performance.

Source from http://www.bookrags.com/wiki/Burlesque. (History)