Concord is a good choice.
Another uncoventional alternative is Simons Rock, which is affiliated with Bard College. I don't think you can start until you're either a sophmore or a junior. It's kind of combined high school/college program. I know a couple of people who've gone through it and they are very bright and very quirky. Bard has a very strong arts/theater program and tends to attract arty/quirky kids.
Finally, I wouldn't discount more traditional boarding schools. Many of the larger ones definitely have their share of quirky kids. Choate - the school I know the most about, is very strong in the arts (theater, art, music, etc.).