Holy shit. I got the Paranoia Agent dvd set about a month ago; I remembered seeing an episode on Adult Swim a few years ago and not really knowing what was going on but being very intrigued. Anyway, I finally got around to watching it (it's only 13 episodes) -- holy SHIT, that was an amazing anime! Psychologically complex, dark, and intensely story-driven (nearly every episode only focuses on one or two characters and it's always a different character, and almost all the episodes are of a completely different nature; some are light and comedic, one is completely in a character's head, etc.). Has anyone seen this? Excellent. I'm pretty familiar with all the popular anime (Dead Leaves, Evangelion, FLCL, etc..) and a little bit of the more obscure stuff (Cromartie High School, Blood, Techno Police, etc..).. but this ranks amongst the best.
http://en.wikipedia.org/wiki/Paranoia_Agent
If anyone wants to reccomend anything else, lemme know. I've seen one of Satoshi Kon's films (Pefect Blue) and highly enjoyed it.