Saw all the Cremasters at a local theater a few years back : it was an intensive experience, some images are stucked forever in my mind.
There was only one copy for all the France's theatres, so good luck to see it on a big screen. But you can still find some VHS rips on the net.
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Speaking of Jim Henson, everyone seem to forgot about this marvelous TV serie :
Can't believe you forgot these one as well : Neil Gaiman + Jim Henson Pictures =