Kubrick's good at that; I'd definitely also recommend his 2001: A Space Odyssey. Other filmmakers who frequently make complex, mind-bending movies include Terry Gilliam (Brazil, 12 Monkeys, Fear and Loathing), David Lynch (Blue Velvet, Lost Highway, Mulholland Drive), David Cronenberg (Videodrome, Naked Lunch, eXistenZ), Charlie Kaufman (Being John Malkovich, Adaptation, Eternal Sunshine of the Spotless Mind), Darren Aronofsky (Pi, Black Swan), and to a lesser, more mainstream extent Christopher Nolan (Memento, The Prestige, Inception).
I'll also throw out Jacob's Ladder, In the Mouth of Madness, the entire Phantasm series, Moon, Source Code, and the animated gem I Married a Strange Person!