On a Soundstage All Along

If the song you're making a video for ends with a dramatic fade of the instruments and you want a suitably dramatic ending then you could try the good old tactic of having you lead singer bow their head while the lights dim and the camera pulls back to reveal - ah ha! - that the band was On a Soundstage All Along. Thus you reveal the artificiality of the music video and undermine the video's story with an unsettling note of self-awareness. Or something. Anyway, it looks totally awesome.

There seemed to be a glut of these around 2001-2005.

Compare Proscenium Reveal.

Alternative Metal

 * Played in "Through Glass" by Stone Sour. Everything in the video (except the band members, but including a pool and a mansion) turns out to be a cardboard cutout, ending with the band on a soundstage.

Alternative Rock

 * The Presidents of the United States' "Dune Buggy" video seems to show the band playing the song acoustically around a nighttime beach campfire for a small group of friends, until an electrical spark in the final second provides a brief illumination.
 * Meta example: Beck's Satan Gave Me A Taco is a rambling country-ish story song where all sorts of crazy things happen...then the end of the song reveals that they were just in a rock video.

Country Music

 * Reba McEntire's "Does He Love You" pulls out near the end to reveal the set and director talking.

Dance

 * The video to E-type's "Angels Crying" is a cliché slasher movie with the lead male singer playing the Ax Crazy to moderately disturbing effect. (Pop lyrics go from asinine to genuinely creepy fast when they're presented as the words of a lunatic.) At the end the camera pulls back to reveal a set, actors come out to congratulate each other, props are moved around, cue a hand grasping a piece of scenery.

Industrial Metal

 * The video to Rammstein's "Amerika". They're rocking out on the moon, and then the cameras pull back to reveal it's a film set.
 * This is also a gag at the expense of those who think the moon landings were faked on a soundstage.

Pop

 * Used in Michael Jackson's "Beat It", where the dancing gang members, led by Jackson, are drowned out by applause and cheering. Subtle, but still a decidedly weird feel.
 * This happens in Michael Jackson's "Black or White" after the morphing-faces sequence, but then we have the panther than wanders onto a city street set and turns into Michael...after all that, it turns out the whole thing is being watched by Bart Simpson.
 * Inverted in Jackson's "Liberian Girl", where dozens of celebrities are shown arriving at an elaborate film set and roaming around, asking where Michael is and when they'll get started filming his video. At the end, it's revealed that he's been there behind the camera all along, and their backstage wanderings are the video.
 * Done in Madonna's video for "Like a Prayer", but with a theatre stage instead of a soundstage.
 * Also in "Material Girl", in which the fact that the final shot completely reverses the narrative of the video is actually important.
 * The video for Steve Perry's "Oh Sherrie" was already playing with this trope in 1984—it starts with an over-the-top medieval wedding with Perry as the royal groom as the setting for the song, then with the first words of the song we get a slam-cut to Perry in modern clothes sitting in a stairwell. The medieval wedding is not the real video, it's a troubled video production; as the production crew undergoes a meltdown, Perry goofs with the cast to entertain his girlfriend (played by Perry's real girlfriend at the time, Sherrie Swafford, for whom the song was written), who has arrived at the set.  In the final moments of the video, the director tries to get everyone back into position for filming.

Pop Rock

 * The video for Natalie Imbruglia's "Torn" is entirely based around this trope. It starts off looking like it's one of those vids where it cuts between lip syncing and a one-dimensional love story—then about thirty seconds in the director steps in and tells them to do certain things differently, and for the rest of the video people are dismantling the soundstage.

Post-Punk

 * This is the entire premise of The Futureheads' video for "The Beginning Of The Twist".

Power Metal

 * The video for DragonForce's "Operation Ground and Pound" includes a shot of lead singer ZP Theart shrugging in front of a Green Screen.

Rock

 * An early example is used in John Waite's "Change" video, where the suicidal woman on the ledge leaps to her death at the climax, only to have the camera pull back and reveal she's an actress whose "demise" was being captured by a film crew.
 * This same premise was used in Staind's Fred Durst-directed clip for "Just Go".
 * The long-form David Bowie video Jazzin' for Blue Jean has a Played for Laughs example (though on a street rather than a soundstage): Bowie suddenly breaks his uncool nice guy character to object to the story's ending, in which ; the shot changes to reveal the crew filming the scene as he argues with the director over the issue.

Ska

 * This happens in the middle of the English Beat's video for "I Confess." The camera pulls away and reveals musicians playing as the band gets ready for another scene of the video. Then we switch back to the video and the soundstage part even seems to be a plot point of the video.
 * A similar occurrence happens about halfway through The Smashing Pumpkins' conveyor belt (almost) oner video for "Ava Adore".

Non-Music Examples

 * This disturbing Mind Screw ad raising awareness for domestic violence, featuring Keira Knightley.
 * Every Abbey Road Studios dreamscape in The Beatles Rock Band ends by returning to the "reality" of the recording studio. Even for songs that start with the dreamscape already "on".
 * The finale of The Hills has this sort of ending.
 * As does the last scene of Full Frontal, directed by Steven Soderbergh.
 * The Big O.