I sound like a broken record every time I say this, but there isn’t much to talk about here beyond it being a good song.
Even if somebody didn’t know anything about Megadeth or director Penelope Spheeris, it would make perfect sense for someone to look at this music video and think it was extracted from a documentary. I haven’t seen The Decline of Western Civilization Part II: The Metal Years (1988) yet. According to Songfacts, the music video was either shot before the documentary, then integrated into it, or it was part of the documentary, then extracted to be released as a music video. Either way, you’d be right to look at this and think it was from a documentary.
I like what Spheeris did here. She made a stripped down concert video that lets the band shine on their own merits rather than her work as a director. It isn’t devoid of her touch though. She clearly tried to capture them as people performing for other people rather than creating a stylish representation of the material like you would see in their music videos for Peace Sells and Sweating Bullets. The thing that subtly jumps out at me when I watch this over and over is that Mustaine is largely invisible due to the limited amount of time he is shown on stage, the sunglasses, and his face being partially darkened during parts of it. I would imagine this was done not only to visually show the darkness of the lyrics, but to keep your focus on the lyrics and how they are resonating with the crowd.
Speaking of the lyrics, this is one of those music videos that was banned from MTV. According to Wikipedia, it was due to alleged references to suicide.
According to mvdbase, the husband and wife team of Jonathan Dayton and Valerie Faris produced this music video. They would go on to do a lot of other famous music videos together as well as the movie Little Miss Sunshine (2006). They were also producers on The Decline of Western Civilization Part II: The Metal Years.