I actually prefer the version of the "Closer" video that has the "Scene Removed" cards... it fits the aesthetic, like you mention, and the rhythm of those cards added something to the video imo. Plus personally it made me imagine much worse than what was actually cut.

As for something scarier for Halloween, there's always the Broken film: a short film that intercuts disturbing NIN videos with verite-looking scenes of a serial killer torturing a young man. Maybe that's old hat now in the post-Saw/Hostel world, but when I watched it as a bootleg in the '90s, it was freaky.