Many problems in computational materials science and chemistry require the evaluation of expensive functions with locally rapid changes, such as the turn-over frequency of first principles kinetic Monte Carlo models for heterogeneous catalysis. Because of the high computational cost, it is often desirable to replace the original with a surrogate model, e.g., for use in coupled multiscale simulations. The construction of surrogates becomes particularly challenging in high-dimensions. Here, we present a novel version of the modified Shepard interpolation method which can overcome the curse of dimensionality for such functions to give faithful reconstructions even from very modest numbers of function evaluations. The introduction of local metrics allows us to take advantage of the fact that, on a local scale, rapid variation often occurs only across a small number of directions. Furthermore, we use local error estimates to weigh different local approximations, which helps avoid artificial oscillations. Finally, we test our approach on a number of challenging analytic functions as well as a realistic kinetic Monte Carlo model. Our method not only outperforms existing isotropic metric Shepard methods but also state-of-the-art Gaussian process regression.