The Dead Weather's "Treat Me Like Your Mother" is the first thing I thought of when it comes to guns and music videos:
http://www.youtube.com/watch?v=M7QSkI6My1g&ob=av2e
or M.I.A's "Born Free":
http://vimeo.com/11622786
IMO, guns in music videos is a smaller category than it may seem - outside of certain genres you will never see someone displaying a gun as prominently as a car in a music video, and with the videos that do there aren't that many that have movie-quality production values. Then there's the question of whether the way guns are portrayed in music videos matches with the views of imfdb members- most of the time, guns are either glamorized as part of a criminal lifestyle or are tools of political oppression.