If the song sounds familiar, then maybe you remember Donnie Darko where the Michael Andrews version of the song made a strong statement within the context of the film, and this is the same version used in the Gears of War ad. Here is the video for the song itself which is quite interesting.
But the real reason I bring the commercial up is the contrast of the action and the song. Unlike Donnie Darko which fits the song STRONGLY - the Gears of War advertisement is a bit of a contrast. One person responding to the commercial on a blog stated, "that's a fan-made piece of stuff, not an ad. I can't really see Microsoft using "Mad World" for an ad for Gears of War."
This same person said, "then again I might be wrong" - well guess what skippy? You are wrong. The rules, they are changing. Microsoft and companies like it are adapting the way they communicate to people. Less, let's follow a method, and more, let's make a compelling stand-along piece that moves people to react to it. Watch the commercial and tell me if you had a reaction - I'm interested.