Oh, great question:
David Lynch made some great and very unusual movies. I'm not only talking about Eraserhead, which was, to be honest, kind of a clusterfuck. But you should totally watch Mulholland Drive, Lost Highway und Blue Velvet.
Then there's Alejandro Jodorowsky. Someone already recommended El Topo but his next movie, The Holy Mountain, is even better. He made some amazing surrealistic movies full of religious and occult symbolism, violence and even humor.
I'd also mention former Monty Python member Terry Gilliam. You may have heard of his dystopian movie Brazil but he made a lot of very amusing and very strange films. Fear and Loathing Las Vegas, if not as good as the book it's based on, is an excellent adaption of Hunter S. Thompsons novel. But you should also watch The Imaginarium Of Doctor Parnassus, a relatively recent movie (2009, i think), featuring Heath Ledger in his last role. It has some amazing visuals.
Some of David Cronenburgs movies are also highly recommendable. The Fly is a horror classic and so is Videodrome. EXistenZ is a very interesting movie, dealing with a subject, that should be very familiar to all of as: gaming. Naked Lunch, an adaption of one of the most important works of beat literature ist pretty much a perfect example for filming the unfilmable and even more fascinatinf if you've actually read the book and know about the author.
Stanley Kubrick was one hell of an excellent director and made some of my favourite movies of all time. A Clockwork Orange is a biting satire on issues like teenage violence and free will, Doctor Strangelove is a pitch black comedy about the beginning of a nuclear war, Eyes wide shut is an amazing thriller about Sex and relationships.
Orson Welles, the guy who directed Citizen Kane, which is widely considered to be one of the best or at least one of the most important movies of all time also did an adaption of Kafkas "The Trial" which is simply excellent and inspired the setdesign of other great cult movies like Eraserhead or Brazil.
Then there's that really nice japanese comedy called "Kamikaze Girls" with probably the wackiest humor you could imagine and a lot of loveable japanese weirdness. It's kinda childish and very girly but... well, this is a forum that loves My Little Pony, right?
And if you haven't seen Scott Pilgrim versus the world already... well, you totally should. It's one of my favourites.