Mark me down as another vote for Johnny Cash's Hurt. Someone recently reminded of how truly great The Man in Black's cover of the Reznor song was. And the video is a phenomenal interpretation of that song. Like the singer, the video doesn't try to be cool or hip or heavy with portent. Ironically, that's what it makes it "cool"--it's honest and genuine and gripping. With every word, the viewer feels the tragedy and sadness of Cash's life.
(I also happen to share a birthday with Cash. )