Ironically I'm struggling to think of an absolute favourite. The one immediately below does come to mind though. I like the music anyway, and the visuals aren't exactly complex or multifaceted. Perhaps it's the simplicity of the visuals that appeals for some reason.
Here's another old favourite, I think mostly because I had an enormous crush on the girl that's in it, about 20 years ago.
This is a favourite just for pure strangeness.
I'm not sure if these two really classify, as they're live performances. Anyway...