The first version of The House of the Rising Sun that I ever heard was Dolly Parton's. I was a big Dolly Parton fan as a kid, with a stack of her albums on cassette to play on my succession of beloved, semi-broken Walkmen. I still think she's fabulous. The effect of this was to make me utterly unsympathetic to any male singer covering it. "It's been the ruin of many a poor boy, and Lord, I know I'm one." Oh, just pull yourself together.
Here's Dolly's version, if you've been unlucky enough to miss it till now:
This came to my mind last night, when David played Muse's typically-histrionic cover and I expressed my opinion a little more colourfully than above. Today I looked it up and found that The House of the Rising Sun has a much longer history than I'd thought. It was old when it was first recorded, by two Appalachian artists in 1934: one of them, Clarence Ashley, said he'd "got it from some of my grandpeople." It might have been brought over to America by early English settlers as a folksong, before being thoroughly localised. Most interesting to me, a lot of the early versions were already sung from a woman's point of view.
Various accounts have it kicking around the South since the Civil War, a cautionary tale for those who'd stray. Sometimes, when it came from a man's mouth, it was a gambler's song. More often, it was a woman's warning to shun that house in New Orleans that's 'been the ruin of many a poor girl'.
—Ted Anthony, Associated Press, 2000, cited here.Apparently, a lot of efforts have also been made to identify the original House of the Rising Sun, if indeed there was an original. This question is far from settled yet and there are too many speculations to cover here: see h2g2 or Wikipedia for more detail (and see the Wikipedia talk page for the kind of unsourced theory that often shows up there).