The Directors Label Series -
This set actually showcases the directors behind the projects more than the actual music videos, but you do get a great collection of classic videos from the past 15 years. The really cool part about this set is all the rare short films and artist interviews that are compiled on the DVDs. I got a chance to browse through the first series discs from Spike Jonze and Michel Gondry, and there's actually pretty educational too if you're into filmmaking or just have an interest with artistic direction and how it goes into direction and production.
This site has all the featured of the newly released series 2 set on DVD. There's a few great names on here, too, and even if they aren't familiar, the work they've done should be:
www.directorslabel.com 
