One of my all time favorite weird movies is Terry Gilliam's
Brazil (
http://www.imdb.com/title/tt0088846/). Gilliam's original version,
not the "Love Conquers All" hatchet job version. I've got the Criterion collection, which has both, so I had the unfortunate opportunity to watch the latter for comparison.
Ye gods, they've destroyed my favorite movie. 
Barton Fink is also delightfully twisted.