Yes, even David Lynch has made music videos. The man who has created such films as Dune, Blue Velvet, Lost Highway and Mulholland Drive has dabbled with musicians also. He popped up on From The Vault twice already, for two really weird projects, The Alphabet and The Amputee. I guess you could call these more mainstream. Check out three from his catalog.
Rammstein – Rammstein (1995)
Chris Isaak – Wicked Game (1990)
Sparks – I Predict (1982)