I'm not sure which was the first. It was probably Rurouni Kenshin related (the ovas). I seem to recall those being the first I watched that were mature (and rather depressing). If not that, it was Ninja Scroll (hated it) or Akira (liked it/don't remember it too well).
PS: Elfen Lied sucks on so many levels I honestly can't see what anyone sees in it. Yes, I sat through it all and yes, I can stomach violence and gore just fine.
It's when unnecessary violence and nudity are overused on a juvenile level to cover up the lack of story that pisses me off in anime. And yes, despite popular opinion, the story was full of plot holes and really didn't go anywhere. Granted, I mainly pick on it because it's talked up way more than it deserves to be. It's certainly not the worst anime I've seen by a long shot, but it's probably most overrated and the -least- mature (in the literal sense) I've ever watched. Ironic.
Sorry, hearing EL praised redundantly always makes me ranty. No offense meant to those who liked it. I just wish you'd praise it for what it deserves to be praised for. The music and background art, namely.