The video shows events in what appears to be a 19th century-style mad-scientist's laboratory that deal with religion, sexuality, animal cruelty, politics, and terror. It was somewhat controversial due to its imagery, which included a nude woman with a crucifix mask, a monkey tied to a cross, a pig's head spinning on some type of machine, a diagram of a vulva, and Reznor wearing an S&M mask while swinging in shackles. Thanks to @Voltorn_Oslo_Futura for the suggestion.