Two music videos come to my mind at the moment:
British India - I Can Make You Love Me - there's a guy dressed in a bull-like costume, though it's not blue. He's drinking, riding around and in the end comes back home.
Hudson and Troop - Frameless - there's a depressed guy in a blue, furry bull-like monster costume, smoking and wandering around the city
Sorry, guys, the song is not Indian, nor is it Russian and neither Serbian. It is a very old Sephardic song and it was brought to Balkans by Sephards (Spanish Jews) as early as 16th century. Original words are in Sephardic language called Ladin and peoples of Balkan just added lyrics in their own languages. Another very old Sephardic tune is known as "...