How about Bring Me to Life by Evanescence. Kind of dreamy, underwater, trollish, eerie quality about it .
There was one by Radiohead ( a band I always hear praised but know practically nothing about) called "Hail to the Thief" I believe. Furtive looking character runs through an increasingly enchanted forest, steals a coat I think, sees animals acting like people and winds up turning into a tree. Fantastic.
When I was younger I remember a video with a guy washing his face , glancing in the bathroom mirror and then looking down again to see the water had turned into worms. Don't remember the song but the video made a lasting impression on my childish mind.
Smashing pumpkins had some otherworldly, dreamy kinds of videos in the 90s. Or maybe they were more weird than fortean, I'm not sure.
If I keep at it I can go on and on.