Without hearing the music, or at least reading the article to get the context, one can't tell exactly what the writer means by "fouillé", but in principle it means "travaillé avec soin" (Trésor). Bilingual dictionaries (e.g. Collins) give "detailed" or "meticulous". So it's in that area, I presume. For melodies, "elaborate" collocates fairly well, I think, though I can't guarantee that's exactly what the writer intended.

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Note added at 19 mins (2015-12-21 18:05:10 GMT)
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In principle, of course, I agree with writeaway that it would be useful to have the context in which the term is used, although it's quite likely that unless the writer elaborates (pun not intended) on this description and tells us more about the melodies, we will be none the wiser.

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Note added at 20 mins (2015-12-21 18:06:07 GMT)
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Well, the sentence does at least suggest that it's being used as a term of praise.

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Note added at 13 hrs (2015-12-22 07:28:47 GMT)
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I think, on reflection, that "intricate melodies" might be better, partly because "intricate" is a slightly more positive term than "elaborate", which could suggest over-elaborate, overdone. Here, as elsewhere, "mélodies fouillées" is certainly a positive expression.

It's actually fairly common in music reviews, though it's not usually clear what is meant by it. However, in cases where the context does provide clues, they seem to me to indicate the sense I've suggested. Here are some examples:

"technique inhumaine mise au service de mélodies fouillées, structures tortueuses au possible mais dégageant une cohérence évidente au fil des écoutes"
http://www.sauramps.com/colored-sands-2943299.html

""Come To Wither" regorge de mélodies fouillées et de plans alambiqués"
http://www.fr.fnac.be/a7759660/Vanish-Come-to-Wither-CD-albu...

"Neil montre encore son talent d’orchestration, son amour pour les mélodies fouillées et complexes"
http://www.nanook-world.com/2008/02/the-divine-comedy/

"sous forme de rythmes soutenus, de grooves intenses, de mélodies fouillées qui s'interpénètrent aboutissant à une musique complexe"
http://koid9.fanzine.free.fr/articles/K56_p5-12_Echolyn.pdf

"Dîne à Quatre Orchestra ne pouvait en effet que proposer des mélodies fouillées, savamment élaborées à l’aide d’une foule d’instruments"
http://users.skynet.be/fa571275/site_d4/Presse/dossier de pr...

"Pinaire affectionne, pour ses mouvements lents, des mélodies
fouillées, ornées de triolets et de sextolets de doubles croches"
https://archive.org/stream/lannemusicale01pari/lannemusicale...