That song is spooky enough... the video moves it into "Oh, crap!" territory.
Trent Reznor's comments on the linked video: "I pop the video in, and wow... Tears welling, silence, goose-bumps... Wow. [I felt like] I just lost my girlfriend, because that song isn't mine anymore... It really made me think about how powerful music is as a medium and art form. I wrote some words and music in my bedroom as a way of staying sane, about a bleak and desperate place I was in, totally isolated and alone. [Somehow] that winds up reinterpreted by a music legend from a radically different era/genre and still retains sincerity and meaning — different, but every bit as pure." (from Wikipedia)