From Yesterday by 30 Seconds to Mars is like a whole short film and they went to China to film it. I remember it being a bit of a deal at the time.
Basically every OK Go music video, This Too Shall Pass is particularly impressive.
Sledgehammer by Peter Gabriel is pretty impressive the amount of work that must've gone into it.
The face morphing at the end of Black and White by Michael Jackson was cutting edge special effects at the time and it holds up well today (better than the rap verse breakdown in the song itself....)
Haha. Last night my teen was watching the MJ halftime performance. She was SO offended that they cut the rap out of Black and White because "it's the only part of the song that makes sense!"