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Kokoro Connect - I just finished it myself. Not the best series out there and have its problems but over all I think they could work well since it has supernatural stuff and focuses on characters psychological problems and explores them deeper with each arc. Series go through different stages, first one is body swapping. Did keep my interest, went through it in few days. Usually takes me ages.
Art is a bit cute but it doesn't ruine things and comedy barely exists there. Characters gradually progress and develop, has some plot twists.
Not major on Death Note scale but if you are familiar with any of Key works, then it kind of has similar feeling.
Darker series wise Phantom: Requiem for the Phantom is great. I would call it a mix between DTB and Rainbow.
I know you said no cutsie stuff but did you try Madoka Magica? art is the only thing that looks cute there and even that is twisted from times to times. This are dark and depressing series, they actually have some things in common with Steins; Gate.
It is also compared to Evangelion a lot.
Ga-Rei Zero - it has some comedy in middle part. Actually series start dark, then go into happy flashback which eventually leads to dramatic events at the start and conclusion. Probably one of the least cliche series I have seen. It does have action but emotional breakdown are of bigger importance.
GTO - I know you said no comedy but Toradora is comedy for most part. GTO focuses on unique teacher Onizuka who will do anything to help his students. Most of his ways are not normal like for example pushing student of the bridge.
every character has some issues that needs to be dealt with and each one is unique and with unique way of solving it. Interesting plot and charas. I really would recommend to give it a try.
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