"Now come, Saviour of the heathen" is the literal translation of Nun komm' der Heiden Heiland and is a Lutheran chorale which has been associated with the Advent season for many years. Bach wrote several settings of the Nun komm and this particular one comes from the Orgelbüchlein (Little Organ Book). It's actually the first piece in the collection! The Orgelbüchlein contains 45 chorales that cover the entire liturgical year.
Fast fact: There was actually an Australian organist by the name of Marko Sever who performed the complete Orgelbüchlein in recital. Marko now resides in the UK and is the current Organ Scholar of St. Albans Cathedral.