Some of my favourites:

http://www.peterpanspeedrock.nl/ :twisted:

http://www.dreamtheater.net/

Nick Cave (the mercy seat)
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http://www.nickcaveandthebadseeds.com/


http://www.neworder.cc/

http://www.royksopp.com/

http://www.moloko.co.uk/

EDIT: added nick cave video