As any filmmaker or cinematographer will tell you, without proper lighting, no matter how talented your cast (or musicians) or how superb your story (or songs), your film will suffer. It's a good idea to test your lighting and see just how well lit your "scene" is before actually shooting your video, since the eye will fool you, causing you to think the room is properly lit for filming. Make sure most of the lighting is facing the subjects rather than behind them, unless you're actually trying to do a silhouette. You can purchase new and used lighting equipment, often with at discounted price, on sites like eBay.
Purchase or rent quality recording equipment to record your music video, including musical equipment and microphones. One of the most important things to remember is to avoid feedback (getting a mike too close to a speaker) as well as external sounds when recording a live performance. You may also opt to create a music video that tells a story to which you can add a musical composition. When possible, record the music for your video in a recording studio using professional equipment as well as a soundproof booth/room. For a low-cost option for mixing sounds and making other improvements to a recording, use a freeware program like Audacity.
There are a number of programs that can add special effects to your music video, making it more interesting to your audience. You can also assemble the visual aspect for your music video entirely in a program like MovieMaker, including using a series of photographs that work well with the song, or choose a program like Poser to create an animated story that goes along with the song. A program like Adobe AfterEffects can also add special effects to a performance shot, like flashes of light or an animated component.