I downloaded it yesterday and haven't gotten a chance to play it yet but Space Spy by Vasily Zotov looks really great and interesting. It's apparantly a kind of allegory for his experiences in the US immigration system or maybe not because from an interview I read he's either kind of crazy or completely made up.

there is a japanese film called the taste of tea that is pretty surreal but also incredibly entertaining.  it's just a collection of moments in the lives of this family in japan, but lots of bizarre things happen during it.  like, for example, the little girl in the family believes that there's this gigantic doppleganger of herself following her around, and she is confident that if she can swing backwards over this bar near their house she can get rid of it.  lots of other things happen, and the ending is the absolute most surreal part, but it's a really really cool movie.

i originally bought it because i was looking through dvds and saw the cover of it, where a little boy has a tiny train coming out of his forehead.  how could i possibly not buy this?

edit: trailer

Or try playing Segare Ijiri, which is an actual game for PSX (gameplay starts at 1:30)