Studio Trigger - Momoiro Clover Z Vs. KISS (feat. Studio Trigger)

It's the band gimmick, they ARE supernatural beings who took the band members as hosts. They have/had a comic called Kiss: Psycho Circus that even spawned a really fun FPS back in the day. You can also find action-figures and other merchandise based on the characters.

It's not a deep lore like Gorillaz, though, they are just personas they take on stage.