Ones that immediately come to mind are the oft-dissected and discussed trilogy of "Don't Cry", "November Rain", and "Estranged" from GnR, "Everlong" by the Foo Fighters, "Bittersweet Symphony" by the Verve, and all the Michael Jackson spectacles.
Two that just had my jaw on the floor, though, were "Smack my Bitch Up" (remember, this predated Noe's "Enter the Void" by many years), and that Robbie Williams video where he rips off all his skin and muscle tissue. Those were like a bad trip.