RahXephon and Gasaraki are definetly some good thought-provoking(Or, at least, have a great story) ones.
Another that I'm surprised no one mentioned is Witch Hunter Robin. While it isn't exactly the most complex or really matured-themed anime, it's got a very good story and characters. The realistic color tones also add a much more interesting feel to it. Be warned though, the first 10 episodes are just "monster-of-the-week"s. After that though, the story gets infinetely better. Give it a shot. ^^
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