James describes his work like this: "Come to Daddy came about while I was just hanging around my house, getting pissed and doing this crappy death metal jingle. Then it got marketed and a video was made, and this little idea that I had, which was a joke, turned into something huge. It wasn't right at all."
The music video for "Come to Daddy" (released in October 1997) was directed by Chris Cunningham and filmed on the same council estate where Stanley Kubrick shot many scenes in A Clockwork Orange. The scene is shot around Tavy Bridge Shopping centre, Thamesmead, which was demolished in 2007. Much of the dark underground car parking is now gone. The video opens with an old woman walking a dog in a grimy, industrial setting. The dog urinates on an abandoned television lying on the pavement, causing it to sputter unexpectedly into life. This unleashes a spirit, accompanied by a gang of small children, all of whom bear James' grinning face and who appear to inhabit the abandoned buildings. The children go around wreaking havoc, trashing an alley and chasing a man into his car. The thin man (played by Al Stokes) emerges from the television, screams in the woman's face, then gathers the children around him. It is the only music video in the top 50 of The 100 Greatest Scary Moments as voted by Channel 4 viewers in 2003. The video is included on the Directors Label volume, The Work of Director Chris Cunningham. The video was also named the number one video of the 1990s by Pitchfork.