Ghost Hunt: Supernatural and arc based. Not really that violent or anything though.
xxxHOLiC: Also supernatural, and rather episode based with developments along the way.
Higurashi no Naku Koro ni: Violent, rather horrofic, supernatural and psychological. Yeah, I think this might be a good choice if you haven't seen it already.
Narutaru: Don't let the beginning fool you, this along with the currently airing
Bokurano are rather psychological anime involving children.
Jigoku Shoujo: Just throwing in another title but this is a episodic supernatural anime.
Monster: A psychological thriller! Not really anything on the supernatural side but yeah.