Well, it seems that there are different WTF categories here.
There's the WTF of Fight Club, where you realize you have no clue what's going on and you have to watch it again to understand it.
There's the WTF of Napoleon Dynamite, where the entire movie is a string of non sequitirs.
Then there's the WTF of movies like Naked Lunch, where nothing makes any sense, and wouldn't no matter how how many chemicals you're under the influence of.
My sister sent me a box set of 50 "classic" horror movies, so I'm expecting soem WTF moments out of that one. Some of the titles include:
Atom Age Vampire
One Body Too Many
Attack of the Giant leeches
The Giant Gilla (sic) Monster
The Killer Shrews
The brain that Wouldn't Die
Swamp Women
Mosnter From a Prehistoric Planet
Last Woman on Earth
The Last Man on Earth
And so on. Of course, it also includes Metropolis, Night of the Living Dead, The Hunchback of Notre Dame (not the Disney version), Nosferatu, and some other genuine classics.