march to the beat of a different drum

(idiomatic) To do things in one's own way regardless of societal norms and conventional expectations.

Example: 1994 Jan. 10, Penn Jillette, "Las Vegas: Tonight! Miracles, Live!," Time:
  Siegfried and Roy, two nuts from Germany, are out of their wealthy little minds. They live in a mansion whose ceiling is painted like the Sistine Chapel, with either Siegfried or Roy (who can remember?) in place of Adam. Roy has a "meditation chamber" (the rest of us have dressing rooms) furnished with a mystic rug and cages for his tigers. They wow the crowd with heavy machinery and endangered-species eugenics. I love S&R. They march to the beat of a different drum machine.
2004, Danny Hakim, "E.P.A. Energy-Saving Spots Give Cars Short Shrift," New York Times (retrieved 21 July 2011):
  The ad ends with a shot of Mark pushing the car down a hill and Suzanne saying, "He still marches to the beat of a different drum."
2004, Larry Portis, French Frenzies: A Social History of Pop Music in France, ISBN 9781589395473, p. 114:
  A defense of non-conformism, deceptively simple in tone and construction, and only slightly political, it is the story of a loner . . . who stays in bed on Bastille Day and ignores the military parade . . . "the good people don't like it when you take a path different from theirs," when you march to the beat of a different drum.