HAYMARKET THEATRE. — Mr. THELWALL, last night, gave his fourth Lecture on SHAKSPEARE and the Drama. He was interrupted many times by the applauses of the audience, particularly during his recitations from, and criticisms on SHAKSPEARE. The house was well attended, and the boxes displayed an unusual show of fashion and beauty. We have no room to dwell upon the particular parts of Mr. THELWALL'S Lecture, but we cannot omit noticing the vivid manner in which he pourtrayed his recollections of GARRICK, of whom he speaks in terms of great praise; nor can we refrain from complimenting him on his bold and true conceptions of the character of Richard III., whom he justly describes of such consummate hardihood as to jest even with the wretches he is destroying, and who has humour even in his villainy.