I greatly second Naked Lunch. I caught myself saying, "What? I don't even, what?" out loud, and I was watching it by myself. It's part novel adaptation with some elements of William Burrough's life added in.
Being John Malkovich is also a pretty strange one. It's a pretty long movie and takes a little bit to get into it but I'd recommend it. Happiness was really good but disturbing. I watched it not knowing it was a pitch black comedy.
Most that I would recommend have already been listed; Martyrs (French) A Tale of Two Sisters (Korean), Ichi The Killer (Japanese), Gummo, Sweet Movie, El Topo, Heavy Traffic, Begotten.