Here's a classy video..

Phil Collin's - Don't Lose My Number
http://www.youtube.com/watch?v=rqn1Pg69TiY

more parody, but it has Mad Max part, a Western part, and a Samurai part.

Strangely, I can't think of any right now, even though there's obviously a lot out there.

Recently, lots of Lady Gaga's stuff like Paparazzi and Telephone (which features the Pussy Wagon from Kill Bill). All the old Hype Williams' epic hip hop videos. Lots of these directors like Fincher and McG started as music video directors.

GREAT STORYTELLING VIDEOS
Tom Petty's "Last Dance With Mary Jane"

MUSIC VIDEOS INSPIRED BY MOVIES
Puff Daddy and the Family's "Victory" is based on The Running Man.

Busta Rhymes' "Put Your Hands Where My Eyes Can See" is based on Coming to America.

Paula Abdul's "Rush Rush" based on Rebel Without A Cause. Her "Cold Hearted" video is based on All That Jazz.

Faith No More does a wonderful take on Hitchcock's Vertigo in this video:
http://www.youtube.com/watch?v=itrYbwesN7s