None of these films f*ck with your mind. They are thrillers. Or horror, or sci-fi, or whatever. With an unusual plot. Or a plot you didn't suspect. Nothing special.
Ns1 mentioned "requiem for a dream". Now that might actually be the only film mentioned in this thread that f*cks with your mind. Although, tbh, I still haven't watched it myself. I have the DVD ready here, next to my TV. I bought it when DVDs were relevant (a decade ago ?). Still haven't been in the mood where I thought: "yeah, tonight I'm gonna let my mind be f*cked".
And Mongrel posts this picture:
And then doesn't mention A Clockwork Orange ?
Now that's a movie where you will think "WTF!!" after you watched it.
My suggestion is Werner Herzog's classic from the 70s "Auch Zwergen haben klein angefangen". In English: "Even dwarves started small". It will probably be hard to find, but it is out there, on DVD and online. Go get it. Don't read anything about it. Nothing. Not IMDB, not the wiki page, not the DVD-cover. Just watch it. It's 96 minutes, that's all you need to know, if you need to plan a timeslot when to watch. Enjoy. I'll give you your money back if your first thought after watching this move is not "WTF?".
Movies by Peter Greenaway are good too (regarding WTF factor). Try to find "ZOO: A Zed with Two Naughts". Drawning by Numbers, The Draughtsman Contract, maybe The Cook, The Thief, His Wife and her Lover too. Don't watch the later stuff, that becomes too over the top, too opera-like.
I'm surprised nobody mentioned David Lynch. Go watch Eraserhead. When you're done, come tell us here what you think the movie is about.
Note, I mention these movies not only because they are WTF-movies. Clockwork Orange, Dwarfs and Eraserhead are all in my personal favorite top-10 list. (Together with Eternal Sunshine of the Spotless Mind, Taxi Driver, Blade Runner, Rumble Fish, Stalker, Gilda, The Hustler, Memento, oops, that's 11 already).
Enjoy.