I don't know where a festival would fall - I guess technically it could be considered commercial if people are buying tickets to the screenings. You'd probably want to clear it with the artist first. Here's what CC says about the license:
'CC's NonCommercial (NC) licenses prohibit uses that are "primarily intended for or directed toward commercial advantage or monetary compensation." '
I think you could certainly make the argument that making a film and submitting & screening to festivals isn't primarily intended for commercial advantage or monetary compensation. Entering in a contest would probably be more like a commercial activity. If you ever plan to sell the film, either directly or to a distributor, you'd definitely have to get a commercial license from the musicians later though.
In general though the thing you want to look for licenses that don't specify 'no derivatives' - meaning you can't build on the work with your own work (i.e. using it in a film). The other thing you need to watch for is "share alike" - which is the license on the NIN album. With that license you are basically agreeing that if you do create a derivative work - your film - you will release that work under the same license as the music was licensed under. That's what we generally do with our films, because they aren't intended for any type of commercial use, but it's something to be aware of in case you don't want to release your film under a CC license.