Some self-referential music videos

 The Buggles - Video Killed the Radio Star

Appropriately, the first music video ever shown on MTV was a song about music videos.

Dire Straits - Money for Nothing

Another music video about music videos, also referencing the channel where it was first introduced.

 

U2 - Where the Streets Have No Name 

The Joshua Tree was one of my first CDs, but I only recently discovered the self-referential nature of its music video: not just the band performing the song, but doing so live on a rooftop in downtown Los Angeles, including local news coverage of the event, and footage of the LAPD monitoring the situation and preparing to shut things down if the crowd got out of hand.

Depeche Mode - Enjoy the Silence

Another of my first CDs was Violator, and I watched this music video early on. Dave Gahan, wearing a kingly robe, walks through various otherwise uninhabited scenic locations, carrying a "throne" (deck chair) with him and eventually sitting down in it to take in the view.

Steve Perry - Oh Sherrie

This music video references itself, the radio version of the song, and the song's origin. The opening trumpet fanfare isn't in the radio version, but the synthesizer instrumental is-- but instead of continuing with the opening vocals, Steve objects that the elaborate set piece isn't working for him, eventually walking away from the crew. Only then does he start singing, and soon afterward, we see the arrival of the one he's singing it to: real-life girlfriend Sherrie Swafford, for whom the song was written. The romantic chemistry rings true because it is true. After the final chorus winds down, the crew chief tries to get Steve back on track to film the "real" video, but he and Sherrie ignore it and walk out of the building together.