Though some of my personal favorite videos (out of the millions I like) are the artistic video by Pink Floyd - Another Brick In The Wall, the epic "I-refuse-to-listen-to-authorities-and-want-to-please-the-crowd-video" by U2 - Where The Streets Have No Name and (of course) the happy rock song video by Van Halen - JUMP!
You stole most of mine mister :P
A music video that really speaks to me, just because the lyrics to the song are so deep, is The Thespian by Alesana
The lyrics to this song are really personal to me, and the music video is very, different, but it also speaks to me in very personal ways.