I knew of Nick Cave (and the Bad Seeds), but I can't say I had a lot of knowledge to his / their catalog and to be honest could only name one or two songs that he'd ever recorded. I still don't.
"O Children" is probably best known for being the song Harry and Hermione dance to, in a tent, in the Harry Potter and the Deathly Hallows - Pt 1.
Much ridiculed for never happening in the book, I found the scene and the music selection to be quite endearing.
The actual 2004 song is much much longer, almost seven minutes in length, with the Harry Potter part only being the last 90 seconds or so. Granted, that might be the best part of the song, but it builds over those other five or so minutes. Not quite theatric, not quite choir, not at all rock, but it works. I'm the first to admit that I like the last 90 seconds or so the best as it kind of finds it element / groove.
There are shorter clips out there that just have Harry and Hermione dancing, but it is not the full song. Feel free to let it buffer if you don't like the first part and skip to the last two minutes, but I think it does ok as an entire piece.
It does not seem there is an "official" video for the song, so you'll get some fan-based one from a 1933 movie as the visual.