Here's my list, to the best of my recollection, and in no particular order 
(directors underlined where necessary)
(all titles linked to their Wikipedia pages)
Suture (1993)
Solaris (original Russian version) (1972)
Videodrome (1983)
eXistenZ (1999
Kafka (1991)
Slacker (1990)
Waking Life (2001)
Alphaville (1965)
The Cabinet of Dr. Caligari (1920)
The Tree of Life (2011)
The Cook, The Thief, His Wife & Her Lover (1989)
Darren Aronofsky
Pi (not "Life of Pi") (1998)
The Fountain (2006)
Luis Buñuel
Un Chien Andalou (1929)
The Exterminating Angel (1962)
Alejandro Jodorowsky
El Topo (1970)
Akira (1988)
Casshern (2004)
Uzumaki (Spiral) (2000) (Japanese horror)
Humorous, yet still weird:
Fear and Loathing in Las Vegas (1998)
The Grand Budapest Hotel (2014)
Delicatessen (1991)
City of Lost Children (1995)
Resources:
TCM Underground
The book " Incredibly Strange Films"
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