Truly strange films

A couple that were mentioned:
Vanilla Sky (even though I liked this a lot)
A Clockwork Orange

Here are some more:
Dark City - This film is similar to Vanilla Sky. It is just better.

Magnolia - Five stories collide into an interconnected web. Tom Cruise is the big name, but he doesn't really steal the show.

Happiness - The is probably my favorite of them all. This is probably the most uncomfortable movie I have ever witnessed yet it was so amazingly well acted that it came across with some rather interestingly funny lines. It is about as dark a comedy as one can be made. Some friends of mine and I continue to recall lines from this movie.