Here's the list of music videos he's been in that I know of:
The Lemonheads: "It's A Shame About Ray" (1992)
Shane MacGowan & The Pogues: "That Woman's Got Me Drinking" (1994)
Concret Blonde: "Joey" (1990)
Tom Petty: "Into the Great Wide Open" (playing Eddie Rebel) (1991)
Tom Petty & the Heartbreakers: "Playback" (1995)
He also did the following:
Played slide guitar on the Oasis song "Fade In-Out" from Be Here Now (1997)
Played on Shane MacGowan and the Pogues "the Snake" album
Directed Music Video for Vanessa Paradis "Que fait la vie?" (2001)
Directed Music Video for Vanessa Paradis "Pourtant" (2001)