Well, it would make sense that Evangelion would be hard to understand, seeing as it is based around Freudian (SP?) theories. Seriously. Anyway, as for me... well, the same as you. Evangelion. I actually had to have my friend explain it. He did so while making me read Angelic Days, the spin off Manga. It helped. Giglamesh was a little confusing at times, and just freaking weird always. I understood the Trigun Anine, but the Manga is completely different (later on), and confuses the hell out of me, though I've been able to decode it recently. Tsukihime was far too short to explain everything, so, of course, I went to the far superior Manga version... that's really it.
Most Anime doesn't really confuse me anymore. Expecially with my Otaku friend (who learned Japanese fluently in a year just so he could watch the Japanese dub of Anime and ANime that hasn't been dubbed sans subtitles) exlaining everything I could ever need to know about any Anime I might get confused watching.