If I recall I believe other bands have had interactive music videos... I think MGMT was one of them. But, as far as I'm aware Arcade Fire are the first band to put out a music video that is not only interactive but personalized as well with satellite and street view photos of your childhood home.

The Wilderness Downtown

I thought it was awesome.

Edit: on second thought there's probably more people interested in this in the arts forum. so if someone wants to move it that would be awesome. I wasn't able to delete it.