David Lynch, Michel Gondy, Spike Jonze, and countless others have done them. In fact, music video and commercial directing is the launching pad for many directors careers.
i know but nolan has already launched his career and he had an amazing success with the dark knight and inception its not like he will do little projects now right?
Music videos and adverts can also be big projects depending on the budget, subject, client, campaign, circulation... I mean, beside those mentioned above, Ridley Scott, Tony Scott, Zack Snyder among others, directed big projects for big clients in big campaigns (before and during their filmmaker career). That I know of, Scorsese directed a Chanel ad - and Michael Jackson's Bad music video, Terry Gilliam directed Nike ads for the World Cup, Guy Ritchie directed ads for Audi (with Madonna) and Fincher was considered one of the best music video directors during the golden age of MTV. So I guess it's not impossible for Nolan to, someday, choose to direct an advert if it interests him.