Nice one! I've always wondered where that video was filmed and I've just watched it again to see if I recognised anywhere in Berlin, having been there. For a brief moment they're standing below a neon sign that says "Sex Kinos" (which I've never noticed before) so that definitely places it in Germany (not that I'm familiar with that type of establishment!).
They also walk through what appears to be an airport or something. Tempelhof?
Well done - guess I'll add this info to the Wiki page.
[Edit] And while we're on the subject of Howling Bells videos. here's the webpage of the girl (Lynsey Wright?) who appeared in the "Low Happening" video: www.modelmayhem.com/145472
Setting Sun video can be downloaded from Dan Fernbach at Static. Click Blessed Night to download it. Video details can be found in 'Press' section. BN was Static as well. I emailed him to find out.
Wishing Stone, I don't know any details. Just looked at the video, a few pics, and a couple of reviews to figure out where. One review is here. Read it and you can deduce that a video was filmed there.
This interview, at the bottom, Juanita says that Velvet Girl was a single in Australia.
Thanks to Mattchew's link to Static Films and his photo of the Setting Sun video outdoor location, we now know exactly where the video was shot. Director Dan Fernbach's press page on staticfilms.net says the indoor shots were done at the Coronet Theatre, which is on New Kent Road, London Borough of Southwark. The video link www.staticfilms.net/howlingbells.mov on Dan's site is a lot better quality than anything I've seen on Youtube (that's if you can get Quicktime movie player to work, which isn't always easy).
A quick look at the London A-Z suggested that Elephant Road might be the road in Mattchew's photo. Elephant Road is off New Kent Road, next to the Elephant and Castle.
And this photo below, which is of Elephant Road Park, confirms it. The lamppost, the railings, the cycle track on the pavement and the buliding in the background give it away.