It's not quirkier than cheese rolling, but:
Each memorial day weekend, we have a festival here called Runamucca, in which motorcyclists gather from all over the place. At the height of festivities, a new motorcycle is covered in gasoline and subsequently torched.
Also, if you travel ninety minutes or so west from here there's a festival held each year in the middle of the desert. It's called Burning Man, but I'll hold off on explaining that one.