Of course one of the all-time best for good reason is AHA's "Take on Me"
But only if you watch the first few seconds of "The Sun Always Shines on TV" which completes the tale in tragic fashion:
Take on me:
http://www.youtube.com/watch?v=u0R7dvLAiP8
Sun Always Shines:
http://www.youtube.com/watch?v=UETauC0-bPc
I like this one by Fleetwood Mac for the song "Everywhere"
http://www.youtube.com/watch?v=E6nnjM_KfCY