I've had the enourmous good fortune to live near The Cinefamily, LA's greatest arthouse. While they've lost a bit of momentum (due to a lot of their programmers moving on to other things), I estimate I've seen at least 3500-4000 movies/pieces of visual media there. I have a couple people to recommend, but I'll start with Sion Sono.
I am extremely glad that Sono has become a giant, commercially-successful director in Japan, because his movies are straight out of the same gonzo art playbook that Jodorowsky and Lynch consult. Sono was originally a student at one of Japan's most prestigious art schools, then saw The Gore Gore Girls and Blood Feast and decided he should spend his entire career making high-minded trashploitation. Fans of extreme Japanese cinema might remember his first feature, Suicide Circle, or at least the scene from it where a line of Japanese schoolgirls hold hands and jump into the path of an oncoming subway. And while all his movies are at least worth a look, The HATE Trilogy is where he started reaching his true artistic heights. It all started when he conceived Love Exposure a 6 hour Valentine to his then-current girlfriend, the raw cut of which was taken from him by distributors and chopped down to 4 hours. This is not a navel-gazing European realism film, the 10-act plot crackles with the energy of binge-watching four episodes of an intense hour-long drama. Even more impressive is that every act shifts to a different genre but all manages to stay in one coherent universe, telling the story of Yu, an eternally suffering Japanese Catholic, and Yoko, a juvenile delinquent obsessed with Jesus. The result was a movie that became the #1 box office hit for 6 months in Japan.
Unfortunately, during the production of Love Exposure, the girlfriend Sono made it for broke up with him and drove him into a depressive funk that inspired the next 2 films in the trilogy, Coldfish and Guilty of Romance, two bleak, nihilistic looks at human sexuality and relationships. Coldfish, about the horrors of male sexuality, follows a businessman whose family becomes romantically entwined with an aquarium store owner/serial killer (apparently based on a real Japanese serial killer who was a dog breeder). In Guilty of Romance, the dark side of female sexuality is explored via a lonely housewife who becomes obsessed with the decadence and perversion of her local red-light district as her novellist husband starts growing distant from her. While he was making the latter, Sono and the lead actress fell in love and married shortly afterward.
But while those are three of his greatest films, everything he's done is at least worth a look. I'd also recommend Love & Peace, a delightful and heartwarming mash-up of Miracle on 34th Street and Gamera, Why Don't You Play in Hell?, his love letter to film where a crew of movie geeks get to film a real Yakuza battle to the death in 35 mm, and Ex-Te, his pisstake on mid-Aughts Japanese ghost movies featuring possessed hair extensions and Chiaki Kuriyama (Go Go Yubari from Kill Bill).