Elements of horror can be found in nearly every media. In musical artists, though, horror's a less common topic. So why do so many use horror movies as backdrops for their videos?
Some of them are great. Rob Zombie's Living Dead Girl, which pays homage to The Cabinet of Dr. Caligari, more or less the oldest horror movie I'm aware of. The music video uses the surrealist and horror elements from the movie, and the music goes well with it. And somebody'd probably kill me if I didn't mention Thriller, the original horror movie music video, even if I'm not a fan. And as much as I hate 30 Seconds to Mars, they do have a pretty good The Shining based video. They lose points for it having nothing to do with the song at all, and for being an awful band, though.
Rob Zombie's Living Dead Girl
compared to Doctor Caligari
I tried not to use a metal video here, because of how often they do use horror movies as subject matter, but it's Ozzy and I had to. Bark at the Moon's based on some kind of Dr. Jekyll and Mr. Hyde/Wolfman hybrid. Tool works as a perfect example of how a music video can make ordinarily weird, but not particularly freaky, music terrifying. And somebody'd probably kill me if I didn't mention Thriller, the original horror movie music video, even if I'm not a fan of MJ.
Some of these use horror as a campy kind of thing, like Ozzy, badass though he may be. Which is fine but it ends up adding more of a humor element than a horror one. Thriller, I think, honestly does something similar. But Living Dead Girl actually gets at the spirit of the film it bases itself off of. The 30 Seconds to Mars video does in some ways as well, but to a much smaller degree. Tool's video's aren't really based off of anything, though they do use text book examples of body horror*.
30 Seconds to Mars' The Kill
Then there's that rare song that actually tries to creep you out. Most of these fail, but Time Has Come by Portishead, DJ Shadow, and UNKLE is one of the creepiest things I've ever heard and I love them for it. There's numerous metal bands that attempt to do this, but to me they're much less effective. The singer Poe worked together with her brother, author of House of Leaves, Mark Danielewski, in creating an album that borrows heavily from HoL, in themes and lyrics. The fact that the music is based off of the creepiest story I've ever read really makes it better, particularly when one can hear explicit references between the two.
I'd have to say the reason Horror figures so strongly into the music world is mostly for the shock and awe value, which is more or less what rock is based on, but for some artists, it's the only way of expressing their artistic intent, and for others it's an entirely new medium.
*Body Horror- When somebody's body moves a way it shouldn't be able to, making the viewer uncomfortable. Like the guy in the video's various vibrating limbs.