UPDATE: After SNL, NBC will broadcast a 30-minute Arcade Fire concert special. Adjust your DVRs accordingly.
There's a video for the single, also called "Reflektor."
The giant paper-mache heads are weird, but I found that opening it in a separate tab and listening to it without looking at the video helped me get into the song more. If you preorder the album directly through them, you get early access to concert ticket sales.
Also of note re: their SNL appearance: David Bowie sings background vocals on this song, and I'm totally speculating here, but he does live in New York so it's not out of the question that he'd show up for the live performance.