Mark Romanek has worked with Nine Inch Nails on two music videos, such as Closer & The Perfect Drug, both of which where high budget videos and Closer was one of the more prolific videos for Nine Inch Nails courting a fair amount of controversy because of the nudity and the depictions of a monkey on the cross (obviously relating to the religious connotations).
Reznor was also asked to score his film The One Hour Photo however the studio (Fox) believed Reznor to be the wrong choice and subsequently decided that he was the wrong cho canned his soundtrack for the film.
He also directed the music video to Jonny Cash's music video to his cover of NiN-Hurt, so obviously he has a fair amount of history with the band.
His music video for A Perfect Drug was very gothic with a blue tint to make it feel much darker visually colder too. The gothic one is something shared with the Closer video, both of which featuring abstract visuals, with Closers style helped via the 20's Film reel used for filming the video, giving it a more sepia feel.
The overall directing style seems very similar to that of Stanley Kubrick, with a strong focus on the surreal elements, I'd say especially with the