Laibach is a Slovenian avant-garde rock group that enjoyed their greatest international success during the late 1980s through the mid-1990s. During that time, some effectively creepy videos were made to promote them and their albums. In fact, I consider the video for "Life Is Life" to be one of the creepiest videos I've ever seen. Take a look... let me know if you agree.
Similar thematically, creepy, but not quite as bone-chilling is the video for their cover of "Sympathy for the Devil".