What is the psychology behind choosing to be weird? There is a saying I was once told:


  "I no longer fear going insane, I am enjoying every moment of it"


For some (including myself), this is in fact a rather happy and liberating reality, albeit a reality that I don't quite understand.  So, my question is, what is the psychology behind choosing to let one's weird side show?

Please note - I am not asking for self help, don't need it - just trying to understand the psychological aspects.  An example of this is when I wore a ballerina suit and walked around a shopping centre as if nothing was out of the ordinary... it was not a pretty sight
The psychology behind choosing to let one's weird side show?
I think the this question would work as effectively as:
The psychology behind choosing to let one's individuality show?

Human beings are social animals. Social pressures  play significant factors in moulding personality.


  The term conformity is often used to indicate an agreement to the
  majority position, brought about either by a desire to ‘fit in’ or be
  liked (normative) or because of a desire to be correct
  (informational), or simply to conform to a social role
  (identification).


So assuming "weird" is more likely to be further away from social norms. The more social pressure to be borne. This means a greater courage is needed to be oneself. There are links between self-acceptance, social pressure and depression.  


  Correlational results indicated that all three trait dimensions of
  perfectionism (i.e., self-oriented, other-oriented, and socially
  prescribed perfectionism) were associated negatively with
  unconditional self-acceptance. Also, as expected, depression was
  associated with relatively low unconditional self-acceptance. Finally,
  a path analysis revealed that unconditional self-acceptance mediated
  the association between socially prescribed perfectionism and
  depression, and other-oriented perfectionism was found to affect
  depression only indirectly through its association with low levels of
  self-acceptance.


Dimensions of Perfectionism, Unconditional Self-Acceptance, and Depression
Gordon L. Flett, Avi Besser, Richard A. Davis, Paul L. Hewitt
Journal of Rational-Emotive and Cognitive-Behavior Therapy
June 2003, Volume 21, Issue 2, pp 119-138  

Conclusion
Gaining self-acceptance, one's individuality or "weirdness" is inversely proportional to the incidence of depression; and also improves the individual's capacity to cope with social pressure to conform.  So by accepting one's strengths and weaknesses one is freed from (social and psychological) pressure, improving one's sense of well being.