(I'll be critiquing one of my own videos because I'm a real cool kid as an example of the type of critique you may receive from meeeee. Sorry that it's basically an essay. ;A;)

A nice video! The dark style fits rather well with the surreal, mysterious feel of the verses. I like the build in momentum as you approach the chorus, and the whole calm before the storm right before an explosion into quick, flowing scenes once you do get the chorus (if that made any sense-), especially around the 1:23-1:27 mark. The dust overlay, while I don't think was necessarily needed, does really help add to the feel of the video as well!

Some suggestions to make the video look a bit better, however!:

I noticed that some of your masks are a bit choppy, suggesting either laziness, being in a rush, or just not knowing a proper/alternative way to separate foreground from background in the art used. Did you use the actual masking tool on Vegas? If you're going to go that route, you're typically going to have to use consecutive anchor points in order to get a smooth mask. Unfortunately, this is a long, tedious process. And sometimes, Vegas can be very unforgiving when you undertake a masking project, so you run the risk of a crash. What I typically do (now) is open the piece of art that I'm using up in Photoshop (or another photo editing software), and use either the magic wand or the magnetic lasso tool in order to cut away the background of pictures while still maintaining a relatively smooth outline. After using these tools, you can use the eraser to clean up any parts that were missed! This is good for getting rid of those pesky little white/etc bits that can show up around your images.

Second is a minor detail, but the hair dynamics around :35 are a bit weird. An interesting idea to use this effect, but it doesn't seem to have quite done what you were going for. The Wave effect in Vegas is excellent for making things look like they're blowing in the breeze or are underwater, but it's a pesky effect that requires a lot of patience and playing around with to get just right.
However, the fact that this hair is pointing downwards makes it a bit silly to be using the Wave effect. Since you've already masked the sections of hair, what you could do is just use the Pan/Crop tool, set the anchor behind the girl's head, and then rotate the hair to give it an animation of being lifted and blown to the side.
In order to avoid the "gap" issue, you could zoom in on the clip using the Track Motion widget on the tracks with the hair, as TM moves the entire track while not messing with your effects.

Third, and perhaps the biggest issue/suggestion, is that when you have something with an animation in it and use a fade out transition, you can see where each of your layers/masks were. A quick easy way to fix this is to render the animation/segment in general to a new track by itself (no transitions), and THEN add your transition. This will eliminate the issue of each layer fading at slightly different rates.

All of these are tiny, minor suggestions, but they can make your video look a lot cleaner! Happy editing!