I'll tell you what i've always really loved.. dinosaur jr's the wagon - It's great though the quality is a bit faded on the youtube.
http://youtube.com/watch?v=xBNLsLlElG0
a few of my other favourites have already been mentioned here..
I've always really, really liked this version of the video for Turn (theres like 3 or 4 of them) by new order - which in turn (no pun intended) is one of my favourite new order songs.
http://youtube.com/watch?v=JYoRX470d9I
I cant think of anymore, but if i do...
This video is pretty heart wrenching too
http://youtube.com/watch?v=yckH20ngY4Y
the chick is way too into the subject matter.