If I can recommend a music one, the Germs clip from the first Decline of Western Civilization has always stood out to me, both as the best part of its movie, and as a strong short in its own right. Of any of the groups highlighted in the series, they-- particularly Darby, but their fans included-- are the only ones that seemed genuinely damaged beneath the surface.

Part 1:
http://www.youtube.com/watch?v=t4kvKUfeFpc

Part 2:
http://www.youtube.com/watch?v=zj9t56tXcCM