Some good ones already mentioned:
REM- Losing My Religion
The Radiohead ones
David Bowie- Ashes to Ashes
This one is really weird. It has David Bowie dressed as a french clown shaking his finger at the screen, among other stuff.
Rage Against the Machine- Sleep Now in the Fire
This was directed by Michael Moore, and IMO is a lot more effective than his movies (which are either underrated or overrated, depending on who you're talking to)
Nirvana- Pretty much all their major videos
Great stuff, here's the list:
Come As You Are- Full of symbolism from Kurt's childhood and weird stuff
In Bloom- There are different versions, but the best is where it's in black and white and made to look like one of those old pop tv shows. It switches between them looking wholesome looking, wearing suits, and them wearing dresses and tearing the place up
Smells Like Teen Spirit- Rocking out in a dusty old gym
Sliver- Has his daughter in it, and is in his garage. Full of weird stuff.
Heart Shaped Box- Full of all kinds of creepy symbolism
Red Hot Chili Peppers- Otherside
REM- They have a ton of great music videos
Here are some of them:
Talk About the Passion- turns the song into social commentary.
Low- Fits the mood of the song well. Has a lot of creepy paintings.
Shiny Happy People
Everybody Hurts
Nightswimming- As beautiful as the song itself. It has both male and female frontal nudity, but it's done in a totally non-sexual way.
Imitation of Life- Full of subtle sexual references.
Bauhaus- Ziggy Stardust
It's not the side effects of cocaine, so then I'm thinking that it must be love