The video for Cash's version of Hurt probably can't be topped. It's much more than just a music video.
So excluding that, then damn near any Bjork video could be my "favourite" on a given day.
But the video I'm going to link to is my favourite from the past year. And that's Nick Cave's Dig!!! Lazarus Dig!!! video. Partly because Cave is sporting the best moustache in popular music today, but mostly because having seen this video, when this song comes on my walkman it's literally impossible for me not to strut along to it.
Best 'tache and best strut... a winning combo in my book.
(oh, and the video for Julian's Planetary Sit-In is also a personal fave, but a lot of that has to do with the fact that a bunch of my mates are in it)