"Everybody Hurts" by R.E.M. always stood out to me as an exceptional song and video. The concept is very similar to "Just" by Radiohead with the running subtitles acting as dialogue while the song plays, and there's a bit of a performance from Michael Stipe keeping it from becoming a short film rather than a video, but the overall vibe and purpose of the two are different enough for me to include both on my fave videos list.
I like a lot of the shots and editing choices made by the director and editor and the slow but deliberate camera movement that keeps pace with the music is a nice touch. The ending of the video is also a nice little bonus.
I've been told that there is a goldfish cracker on Stipe's hat, placed there by the other band members. It pops off when he climbs up ontp the median or when the song hits its crescendo. I can't remember which, but I heard that if you watch for it you can actually see it go.