Not to be a pedantic, but the Arcade Fire video you linked, while very well done is an unofficial video.
Back a couple years ago I posted a thread about my favorite music videos of all time. Here are the ones from the 2000's, plus some other gems (in no particular order).


Pyramid Song- Radiohead
Star Guitar- The Chemical Brothers
Frontier Psychologist- The Avalanches
Hard to Explain- The Strokes
Blue Orchid- The White Stripes
Knives Out- Radiohead
Sunset (Bird of Prey)- Fatboy Slim
D.A.N.C.E.- Justice
Fell in Love With a Girl- The White Stripes
The Scientist- Coldplay
Hurt- Johnny Cash
Weapon of Choice- Fatboy Slim