An effective, more classical approach to horror that lets the supernatural stay supernatural. While being somewhat one-note near the end, it does its job of keeping you up for a night or two.
Higurashi: When They Cry
Despite poor animation, Higurashi brings a unique and potent horror experience that will stick with you for days or weeks on end.
Magia Record: Puella Magi Madoka Magica Side Story
Magia Record takes the world you know from Madoka and shows us how it would be like in a bigger city full of networking Magical Girls. There is a bit of a firehose effect with the number of characters and amount of story here, though.
The Garden of Sinners (Kara no Kyoukai)
For having the same writer, composer, and animation studio that brings us Fate/Zero and the Heaven's Feel movies, Garden of Sinners has stellar animation and music for a boring, unconvincing story.
Puella Magi Madoka Magica: Rebellion
An eerie finish (?) to the Madoka series that keeps the curveballs coming. Inu Curry's unsettling abstract animation is back and Yuki Kajiura's soundtrack is phenomenal, but the story can be tricky to follow.
Puella Magi Madoka Magica
Do you ever have those shows or games that you go through and they just stick with you for like, months? This is one of those.