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Evangelion, Steins:Gate, Phantom: Requiem for the Phantom....

Seeing that you like mahou shoujo and shoujo stuff in general, I HIIGHHLLYYY recomend Revolutionary Girl Utena. It's one of the most well-known and revered psychological series out there and a classic must-watch for several different genres. Watch the series first and then watch the movie once you've seen and digested the series, but try not to watch it all in one weekend like I did. Your head may explode.
http://myanimelist.net/anime/440/Shoujo_Kakumei_Utena

You liked Madoka- this is it's predecesor, and is much more psychological. Less dark and gritty, more thought-provoking. But it does have some very dark moments.

It's not a suspense thriller at all, but it's one of the most psychological anime to date, up there with Evangelion and Perfect Blue (seconding these by the way). It's also an anime classic.

Mawaru Penguindrum is good as well, it's kind of like the offspring of Utena. I think it's a little less psychological and a little less thought-provoking than Utena, but still good.