I admit it - the reference to Ethan Coen on the sleeve of this straight-to-video oddity secured a rental. I wasn't disappointed.
The Naked Man bears all the hallmarks of a Coen-penned script - albeit from the more fantasy oriented side of their cadre (see also The Hudsucker Proxy and the Sam Raimi directed Crimewave). Also, the very first sound you hear is a man screaming - another Coen favourite.
This is not to detract from J. Todd Anderson's direction. The whole production has a surreal air. He places events in a small town in middle America, but it doesn't seem out of place. You never forget this is supposed to be a fantasy.
Look out for it next time you're in Blockbuster. If you don't expect something as masterly as The Big Lebowski or The Hudsucker Proxy, you'll love it. A lo-fi Coens flick, if you will.