Depends on your definition of visuals.
Pearl Jam - Jeremy is good, as is Pearl Jam - Do the Evolution
Tool - Schism is good, along with most other Tool videos for interesting (disturbing to some) visuals.
Beatie Boys - Sabotage is great for a classic cop show fan 🙂
Daft Punk has some nice anime-esque stuff going on.
Metallica - The Memory Remains is fairly amusing with the rotating "Platform" (The room is actually moving around the platform, with a camera mounted in one place in the room. Very creative, yet a simple idea)
Metallica - One is similar to Pearl Jam's Jeremy I suppose, and The Unforgiven 1 and to a lesser extent 2 give a feeling of hopelessness with it's visuals.
Papa Roach - Between Angels and Insects has the entire "Fight Club Opening" thing going for it.
Dire Straits - Money for Nothing is a great example of how far we've come in the last 20 years as far as 3D technology goes.
Rammstein - Links 2 3 4 has some GREAT animation of insects.
System of a Down - Chop Suey has some nice editing, although it's just a few steps up from good trick photography 🙂
Korn - Freak on a Leash is great at least in the animation of the bullet scenes.
Staind - It's Been Awhile is pretty good if you're looking for a good video that matches that sort of song 🙂
Linkin Park - In The End is decent for the scenery.
Michael Jackson - Thriller - No list would be complete without it. Scream was OK for it's time too 🙂
Pink Floyd - Welcome to the Machine is just outright weird.
Eminem - Guilty Conscience has some nice camera tricks (rotating camera shots of a still image with live actors over it - with a fairly convincing effect)
Green Jelly - Three Little Pigs is good if you're into claymation 🙂
And just for raw comedy value, you need to see the Final Fantasy: The Spirits Within - Thriller video 🙂 Just watching Dr. Cid dance like that is worth finding it 🙂
I'd say my favorites are Pearl Jam - Jeremy, Tool - Schism, Rammstein - Links 2 3 4 and Korn - Freak on a Leash.
I'm also a big fan of anime music videos - think fan music videos with footage from various anime serieses put together to (usually) match the song. Some of these videos actually better most "official" videos today. If you're interested in my suggestions in this category, let me know 🙂