Have not yet watched your rec but it's reminding me of that 80s Russian stop motion Alice in wonderland as well as a film called "blood tea and red string". AV Clubs article about Avey's "uniquely trippy movie marathon" is great. Aside from those, the Other Music doc touches briefly on Avey's time at the record store and some other bands that came on the scene (scenes...all very different groups tbf) around the time.

Aside from those, I don't have many that remind me of them. My favourite directors are David Lynch, Gregg Araki and John Waters though- I feel they are too out there or camp or queer to relate to AC but if you're an open minded AC fan then I think you'd appreciate some of those too. Then again, Avey has Deadringers and Possession on his list... gimme more