All Fullmetal Panic seasons (already mentionned above)
Serial Experiment Lain: Kind of cyberpunk but not very futuristic. Pacing is quite slow but it's really worth watching. Smart and (not overly) emotional.
Black Lagoon: Bored of endless Good vs Evil fights? Here it's Evil vs Even-more-evil. Very violent, if you like blood splashes and have a cynical perception of the world, it's for you.
Hellsing: Already mentionned too, but I suggest reading the manga rather than watching the anime. Or do both, but 2nd half of anime is close to non-sense.
Kimi Ga Nozomu Eien: sad and depressing love stories involving a group of 4 old friends in their early adulthood (the 2 first episodes introduce them as teenagers). Lots of piano/violin themes, perfect if you wanna cry.