Part of a list I did way back in 2006: Genesis - Jesus He Knows Me, Paul Simon - You Can Call Me Al, The Cardigans - Losing My Favourite Game, Dirty Vegas - Days Go By, Run DMC vs Jason Nevins - It's Like That, New Order - True Faith, Foo Fighters - Learn To Fly, Beastie Boys - Sabotage, Jamiroquai - Virtual Insanity or Peter Gabriel - Sledgehammer. That's without even including anything by Michael Jackson yet and QOTSA have some decent videos as well.
However I've always liked Narcotic Thrust - I Like It and did even before I saw the video: