Tetsuo, Gummo, Eraserhead, Angst... probably already mentioned in this thread but those surely are masterpieces which I'd listen to without the films even. Back in my teenage years, I'd watch Begotten with Gnaw Their Tongues (take Reeking, Pained and Shuddering, for example) playing behind. It was nice to mix different albums with its visual madness, since so many seem appropiately fitting.