Tonight, Tonight from Mellon Collie and the Infinite Sadness:

This is one of my favorite songs/videos of all-time. The song is powerful and layered beautifully, plus the video just captures it perfectly. What about you? What's your favorite?

Wiki:

The critically acclaimed music video, directed by Jonathan Dayton and Valerie Faris, won six awards at the MTV Video Music Awards in 1996: Best Video, Best Direction, Best Special Effects, Best Art Direction, Best Cinematography, and Breakthrough Video. "Tonight, Tonight" was also nominated for Viewer's Choice, Best Editing and Best Music Video, Short Form at the 1997 Grammy Awards.

The video was inspired largely by the hugely influential silent film A Trip to the Moon, directed by Georges Méliès, for whom the ship at the end of the video is named. Hence the video was filmed in the style of a turn-of-the-century silent film using theater-style backdrops and primitive special effects.