A musician and actor perhaps best known for his work in the alternative jazz fusion band the Lounge Lizards, John Lurie fell ill some years ago and retired from performing. He took up painting and proved to be equally talented with a brush as with a saxophone, as evidenced by this show of recent works. The 22 small-scale, quasi-figurative watercolors and oils in “There Are Things You Don’t Know About” are imaginative scenes full of rich color and texture. Most contain captionlike handwritten texts that convey humorous and often profound observations about art and life.