I'm a big fan of surrealism and horror, and they're at their best when combined.
Frank Booth (Dennis Hopper) from Blue Velvet is an all time favorite.
Tom Waits, though not a character in movies is so incredibly odd in reality. But not in a threatening way, he just has his own way of doing things. In the context of Kult I see him being a supporting protagonist.
Tyler from Fight Club. 'nuff said.
I've often wondered if David Bowie was from another planet.