Honestly, she's the Queen of the medium, so all her singles deserved videos!
I think that Rescue Me is the biggest lost opportunity. She had that post-Justify My Love, and pre-Oscars glamourous beauty. It would have been nice to have another document of that era.
Nobody ever mentions Into The Groove. I always wondered what a "real" video would have looked like. This said, the song is so strong (and visually connected to "Susan") that it didn't need new visuals.