The quantity of music content is rapidly increasing and automated affective tagging of music video clips can enable the development of intelligent retrieval, music recommendation, automatic playlist generators, and music browsing interfaces tuned to the users' current desires, preferences, or affective states. To achieve this goal, the field of affective computing has emerged, in particular the development of so-called affective brain-computer interfaces, which measure the user's affective state directly from measured brain waves using non-invasive tools, such as electroencephalography (EEG). Typically, conventional features extracted from the EEG signal have been used, such as frequency subband powers and/or inter-hemispheric power asymmetry indices. More recently, the coupling between EEG and peripheral physiological signals, such as the galvanic skin response (GSR), have also been proposed. Here, we show the importance of EEG amplitude modulations and propose several new features that measure the amplitude-amplitude cross-frequency coupling per EEG electrode, as well as linear and non-linear connections between multiple electrode pairs. When tested on a publicly available dataset of music video clips tagged with subjective affective ratings, support vector classifiers trained on the proposed features were shown to outperform those trained on conventional benchmark EEG features by as much as 6, 20, 8, and 7% for arousal, valence, dominance and liking, respectively. Moreover, fusion of the proposed features with EEG-GSR coupling features showed to be particularly useful for arousal (feature-level fusion) and liking (decision-level fusion) prediction. Together, these findings show the importance of the proposed features to characterize human affective states during music clip watching.