Check out anything by Catherine Breillat: Romance (already mentioned - a must see!), Fat Girl, 36 Fillette, Perfect Love, A Real Young Girl
Anything from Bertrand Blier; another French director that writes/directs quirky, sexually themed flicks: Going Places (already mentioned - excellent), Beau Pere, Get Out Your Handkerchiefs
Additionally, I'd recommend: Alejandro Amenabar's Abre Los Ojos aka Open Your Eyes - this movie was remade by Cameron Crowe under the name Vanilla Sky - both versions are very cool and star the sexy Penepole Cruz; Luis Bunuel's That Obscure Object of Desire; most movies by Italian Lina Vertmueller e.g. Swept Away which was recently remade by Guy Ritchie/Madonna; Under the Skin (Carine Adler); Emmanuelle (Just Jaeckin); Lickerish Quartet (Radley Metzger); Baise Moi (Virginie Despentes); and a few must-see American flicks - The Graduate (Mike Nichols), Bully (Larry Clarke of Kids fame) and suprisingly good was Voyeur Confessions.