I just recently discovered Ubu.com, a media archive whose film section includes over 200 rare experimental works, many of which are unavailable on DVD. Here's one I've particularly enjoyed so far, a short film (about 15 minutes) from 1944 directed by and starring Maya Deren. John Cage plays a small part.
Maya Deren, playing herself, emerges from the crashing waves of the ocean in a clinging dress, like an amphibian crawling across the sand. She finds a piece of driftwood and begins to climb up it, emerging, at the summit, on a dinner table in the middle of a lavish banquet. Only mildly disturbing the guests, she proceeds to climb across the table. She interrupts a chess match. The pawn falls from the chess board and down a deep hole. She pursues it, in one of many Alice in Wonderland references, until she begins to lap the film itself, catching up with several versions of her past self on the beach of her dreams.