Somebody already mentioned "Rabbit in Your Headlights" by UNKLE and Thom Yorke. Such a brilliant video, it speaks volumes and hits you in the gut (figuratively and well, er, literally)
Aphex Twin - Come to Daddy (it will give you nightmare but damn, it's good)
Aphex Twin - Windowlicker (creepy scarey and bordering sexually perverse, but it's all about open minds and ingenuity)
The Chemical Brothers - The Test (amazing and trippy)
Daft Punk - Around the Word (some fantastic choreography
Beastie Boys - Body Movin (fondue r00ls, heh)
Moby - Run On
Fatboy Slim - Weapon of Coice (who knew Christopher Walken is a prof. trained dancer?)
Bjork - All Is Full Of Love