I like music videos -- I think they provide a great platform for film experimentation (in part because they don't need to be narrative), and they're always bite-sized, so you can still sit through something that's interesting even if you don't exactly like it. Plus, there's just something attractive about video synced with music.
I have a number of compilations of music videos, and one that has risen in my esteem in recent months is the collection of work by the director Mark Romanek. I got it in a box set with collections from three other directors a few years ago, and had only watched about half the videos. After watching it more thoroughly, I'm really liking his work. He's a very mainstream director -- Coldplay, Jay-Z, Madonna, Nine Inch Nails, etc. -- but he always brings something interesting to the videos. There's not a consistent style to his videos (like, say, Michel Gondry), but making a bunch of very different cool videos is actually harder, in a way.
Since I'm always trying to get people to sit and watch videos with me, allow me to attempt that virtually -- here are a few Mark Romanek videos that are good for different reasons:
Macy Gray - I Try
Nothing fancy, but this video is well-shot and well put together. (And I had forgotten what a good song this is.)
Mick Jagger - God Gave Me Everything
This video has a unique look...as I learned from the commentary track on the DVD, it was created with rigs they made that attach to each person's hips, so that they move with them. Works well with Mick Jagger's Mick Jagger-ness.
Jay Z - 99 Problems
This one's interesting because it portrays the inner city in an un-glamorized way, unlike many rap videos. (Note: The particular still frame that represents the video here happens to be a bit more risque than the video as a whole.)
Johnny Cash - Hurt
Johnny Cash's cover of Nine Inch Nails' "Hurt" is pretty affecting on its own, but it's even more powerful combined with this video woven from historical footage and a performance shot shortly before Cash's death. (Try to ignore the annoying first 10 seconds, which advertise the show that posted it to YouTube.)