This anime is hard to watch, but well worth it (provided you have the stomach for it). Violent and bloody, Elfen Lied (German for Elf Song) will have you rocking back and forth between touching and utterly disturbing moments. This rollercoaster has a distinct effect - it renders the touching moments more poignant, more powerful; it also keeps the shock-value high whenever the plot turns grim.
With this in mind, you should only watch this anime if you are the sort who enjoys feeling sad and/or disturbed. Liking gore helps, too. That said, if you do enjoy these things, the story and character development in Elfen Lied are absolutely fantastic and should absolutely be seen if you're a fan of the genre.