I really loved these music videos from the 80s which actually told stories in themselves - sometimes even with few connections to the songs.
It was ... Like like really big cinema movies condensed into 5 minutes or so, which is quite an achievement, in my opinion.
One example was "Juliet" by Robin Gibb - which seemed to me to be the story of a man and a woman who find themselves together again after two or three centuries ...
I don't like her (Christina Aguilera) music, but I find the video Beautiful .. eh … beautiful. A lot to think about (although I don't know if ms. Aguilera herself is behind the video).
I would also mention Stupid girl by Pink, another artist I don't listen to. In this case I think she's means what she sings. Rumour has it that Paris Hilton, one of the girls parodied, complained that Pink used celebrities to gain popularity. Whereupon Pink responded: "Spell it! Spell celebrity".
One band I do listen to is Tool. I like the video to their song Schizm because it's so surrealistic, and IMO adds to the song.