If you like Paranoia Agent, you should check out the other stuff that Satoshi Kon has directed like Perfect Blue, Tokyo Godfathers, Milennium Actress, and Paprika. The man is brilliant.
Perfect Blue
Tokyo Godfathers
Milennium Actress
Paprika
My favorite is pretty easily Milennium Actress - about a pair of reporters who are giving an interview to a very old actress. As she retells the stories of her life, the reporters find themselves actually reliving things with her.
The most common theme amongst Kon's films is how reality is really mutable and changes depending on your perspective.