The video for "Only When I Sleep" is of a more glamorous style than the previous videos. It was shot in the Alexandria Hotel in Los Angeles on September 12, 1997. This hotel used to be very popular in the early days of Hollywood, and famous stars like Charlie Chaplin, Sarah Bernhardt, Rudolph Valentino, Douglas Fairbanks or Cecil B. DeMille but also politicians like Theodore Roosevelt and Winston Churchill stayed here. It is abandoned today but still used as a filming location of many films, TV shows (e.g. The X-Files) and other music videos (like Hanson's "This Time Around").
Director Nigel Dick met Jim by chance at the airport of L.A. He has been directing music videos for many other artists, including R.E.M., Cher, Oasis, Tears for Fears and Alice Cooper.