un chien andalou is a must see
La Jetee is also good, quite experimental in that it is a series of still images but you will recognise the story if you have seen Twelve Monkeys - gilliam lifted the whole story from here. i would add some Kenneth Anger and Peter Greenaway films to the list as well. these are the ones i've seen but there are more. all four are quite experimental. Anger was brought up in Hollywood so a lot of his films go against the normal Hollywood aesthetic.
Scorpio rising (Anger)
Rabbit's Moon (Anger)
H is for House (Greenaway)
Windows (Greenaway)