Genocyber, 5 OAV full of gore, cyberpunk and action
Shoujo Tsubaki, from the master of ero-guro Suehiro Maruo (very heavy, don't look if you do not like the extreme)
Le portrait de petite cossette if you like the gore with some romance and gothic atmosphere
Umineko no naku koro ni, very good argument and a lot of psychopathy.
and those who already have recommended you: Higurashi no naku koro ni, another, deadman wonderland, hellsing ultimate, berserk, basilisk, elfen lied, school days, gantz
It started out quite slowly and I was a little sceptical about whether it was actually going to be scary or not, but then I got to episode 3 and was like O.o
It's really, really good, and some parts made me wince whilst watching. Plus, there are some freaky moments that probably should not be watched at half past midnight, as I discovered... ^^'