Dark, disjointed, strange...
Robert Plant - Little By Little - YouTube
Madonna - Oh Father (Video) - YouTube
Richard Marx - Hazard - YouTube
(there's a version with band members, but I think it's the rare video that works best without that)
Fleetwood mac - everywhere - YouTube
Winger - Hungry - YouTube
(okay, more straightforward, but still creepy)
The Cure - Lullaby - YouTube
(not strange, just sad)
Bon Jovi - Living In Sin - YouTube
(even more sad)
Cyndi Lauper - Time After Time - YouTube
Also, of the many other Madonna story-telling videos, this is good.
Madonna - Papa Don't Preach - YouTube