I'm a big fan of Sono's work, with LOVE EXPOSURE probably being the highlight. I've still got several of his films to get through but each I've seen has been memorable, even if they aren't all great. COLD FISH is indeed very grim but quite great, only a notch below the Park Chan-Wook revenge films for mine. He's made some really interesting horror films too: NORIKO'S DINNER TABLE, SUICIDE CLUB and, most notably, STRANGE CIRCUS, which is fucking bananas.
My biggest recommendation if you've seen LOVE EXPOSURE and want to move on to something else (that isn't grim) would be WHY DON'T YOU PLAY IN HELL? It's fairly recent (2014, I think) and is a bonkers ride from start-to-finish with a hilarious, layered premise that all leads to a ridiculous and glorious finale, a little like LE. (And now I read the thread properly I see WDYPIH has already been recommended and obtained... whoops!)
This thread has made me want to watch more Sion Sono. Maybe today is the day I finally watch EXTE, his horror film about evil hair extensions.
EDIT: And if we're open to just mentioning other good Japanese films, then I'll take this chance to recommend FISH STORY, because it should always be recommended.