I think it's safe to say that many, if not most, people seem to assume that music videos began with the initial broadcast of MTV on August 1, 1981. That first video, the Buggles' excruciating "Video Killed the Radio Star," came out in 1979, so what were they singing about? Were the Buggles prophets or were there videos before MTV?
For a long time, there have been musical numbers both in film and on TV. And hundreds of people have probably seen the PBS documentary about Soundies, where Michael Feinstein suggests that "an amazing forty years before MTV made its debut came a revolution in sight and sound." Hacktually, the marriage of music, advertisement and visuals within discrete shorts is almost as old as film itself and this, part one of The evolution of the music video, actually ends with Soundies.
*cue the Ken Burns music*
1890s - The Kinetoscope
William K.L. Dickson, one of the most important pioneers of early film, was working on the Kinetoscope, which played short films matched sound recorded on wax cylinder to film. In what to me is the first music video (filmed around 1894), Dickson plays "Song of the Cabin Boy" on the fiddle whilst two dudes grind suggestively.