So glad this thread has been revived at least somewhat recently.
Thee Oh Sees makes some of the best videos I've seen in a while, touching on everything from the ouroboros of serial murder to the plot-twist bait-and-switch sexual orientation thing better than Carly Rae Jepsen ever could have (warning: I promise you don't actually want to click on that).
Also, shoutout to my personal favorite pretentious indie bullshit band for making an homage (or, blatant rip-off; six of one) to a fucking beautiful Russian 90's punk band Zvuki Mu (Звуки Му)'s music video:
The original:
The National's sadder, slower signature sound paired with the remade amped up video:
The video for Front 242's Headhunter. The amount of eggs is hilarious.
Candlemass managed to mix awesome doom metal with comedy in the video for Bewitched. A bunch of metalheads headbanging away while a fat guy sings his heart out about witches.
I actually remember when I was 7 years old and this video premiered on TV. I was ready to go outside, but I saw the "cold desert" opening frames and quickly became hypnotized
Even 22 years later, no music video comes close to this for me.