In 1984, the UK's Channel Four aired this Play at Home Special featuring Siouxsie and Robert Smith, who was currently a member of the Banshees.
Nearly an hour long, it's a trippy Alice in Wonderland video that makes you fairly certain everyone involved was on massive quantities of acid before, during and after the filming.
There are musical performances, and you can see Siouxsie and other band members dressed up for the Mad Tea Party in hideous blonde wigs. At one point, for some reason, Siouxsie is dressed up as.. a drum majorette? I have to confess, I haven't watched this all the way through quite yet.
Check out screencaps from the show here.