Higurashi no Naku Koro ni is somewhat of a horror gem, especially the first season [http://www.escapistmagazine.com/articles/view/editorials/reviews/anime/6503-Anime-Review-Higurashi-When-They-Cry], which is available on DVD in the states.
Elfen Lied is worth a watch too, though it's certainly a mixed bag of genres, and I've heard great things about
Monster, though I've yet to see it.
Aby_Z said:
Higurachi is a good one. Several different stories with the same characters but no continuity. It's a wonderful series.
The second anime season does picks up on continuity somewhat (with the 2 very long solution arcs), but at the cost of some of the mindscrew and horror from the first one.