YouTube - A Perfect Circle - 3 Libras The video clip isn't as good as the song, but it's still beautiful, and one of the few video clips I like that doesn't feature a live performance. (also has some boobies in it, so you've been warned).

YouTube - Radiohead - Paranoid Android This is a great video clip as well, has some really good imagery.

And people have already mentioned 'Here it Goes Again', 'Smack My Bitch Up', and 'Weapon of Choice'.