I have three that when they are broadcast, I always reach for the remote and change the channel. Quickly.
The Human League: "Mirror Man". Nice song, but the video shows an actual death, that of the water speed record chaser John Cobb who died when his boat disintegrated on Loch Ness.
The Cardigans: My Favourite Game. Again, nice song but an awfully upsetting video.
Shakespeare's Sister: Stay. Another nice song but that video creeps the crap out of me.