Michael Jackson's Thriller video is rightly considered to be one of the best all time. The first "MTV World Premiere Video," (remember those?) it was directed by the filmmaker John Landis (Twilight Zone, Trading Places, ¡Three Amigos!, Coming to America, etc.) and clocks in at over 13 minutes.
The comprehensive Wikipedia entry for the video informs us that the video is listed in the Guinness Book of World Records as the "Most Successful Music Video," and that it is of sufficient historical and cultural significance that it is preserved as part of the National Film Registry (it is the only music video so preserved). And let's be honest - the zombie choreography is way way cool.
One thing that the video's writeup does not teach you, though, is that John Landis included one of his famous signatures (directors have the thing for this, it seems) as an Easter egg in the video. Starting at around 4:00 in the video, MJ's girlfriend is too scared to watch the movie and decides to leave. As she walks out, we hear a short snippet of the movie they are watching: "scrawled in blood...(what's it say?)...'see you next Wednesday.'"
See You Next Wednesday was John Landis's mark. He inlcuded it in at least 15 of his works - see this fan-cut compilation for some good examples - including The Blues Brothers (where it appeared twice), Trading Places (as a movie poster in hooker-with-a-heart-of-gold Jamie Lee Curtis's apartment, and Coming to America (in the subway, a movie poster starring Ackroyd, Curtis, Moe from the Three Stooges, and James Brown.) The gag became famous enough that it is also included in several non-Landis works, as varied as Doctor Who and Michael Buble (as seen at around 3:00).
Bonus fact: Landis and Michael Jackson teamed up again in 1991 for Black or White, a great video starring Macaulay Culkin and George Wendt, which was simultaneously debuted on MTV, BET, VH1, and Fox network (allegedly giving Fox its highest ratings to that point in its history). At the end of the long version of the video, MJ morphs from a cat to a human and back again, doing several minutes of dancing and racism-fighting on an empty street while in human form. At one point, MJ smashes a window with a trash can. The window is the "See You Next Wednesday Storage Co." (the smash can be best seen on this 4:3 version of the second half of the video, at around 2:50).