I think maybe a lot of that has to do with what our primary sense is- visual, auditory, tactile. Personally I am visual, so I like watching music videos, but just listening to music by itself I tend to find overstimulating and irritating, even if it is a song I like. I prefer silence.
I DO love to dance- I performed as part of a professional troupe for a time, so I generally relate to music through movement, i.e. I like music videos with great dancing, when I am listening to a song I am breaking down in my head how I would move my body to it, etc.