Chris Cunningham is the dude who (warning: scary link) seriously creeped us out with the videos he made for (the following link is very NSFW, Not Safe For Work) Aphex Twin and Portishead and Bjork and his -- also creepy -- Sony ads.
But what he really likes to listen to, is classical music:
These days, his tastes run more to Bartók, Ligeti, Varèse and Debussy.