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Paranoia Agent is serious, deep, smart/intelligent, etc, etc. It's a bit hard to describe unless you've seen Boogiepop Phantom (which it's a bit like, though less dark and without BP's stylized art). I would recommend it.
Full Metal Alchemist is generally aimed at a younger audience. It sometimes plays at serious themes, but ultimately it's an action-fighting show with magic powers; the serious themes just provide a backdrop for the main characters to look heroic against. The show it most reminds me of (though it's unlikely you'll remember it) is Sorcerous Stabber Orphen. In any case, I wouldn't recommend it based on what you said you're looking for.
I've been recommending Kino no Tabi ~the beautiful world~ to everyone who says they want something serious, so I'll recommend it here again. The show seems laid-back, and the description might fool you into thinking it's some other sort of show; but it's really very serious and sweet, and it doesn't pull any punches when deplicting the darker parts of the places that Kino visits.
If you liked Gunslinger Girl, then you might try Noir, which is similar in many ways.
Lain, Now and then, Here and There, Gasaraki, Haibane Renmei, Texhnolyze, and Infinite Ryvius are the other shows that tend to come up when people ask for something serious. Well, you might look into them, anyway.
And... I think everything I recommended was licensed. Well, perhaps that's a good thing; studios are snapping up the more serious and thoughtful shows much faster nowadays, while more generic kiddie stuff goes unlicensed. Anyway, since I ought to recommend some good unlicensed stuff, too:
Hitsuji no Uta is a very serious and dark psychological sort of show.
Hundred Stories certinally dark and goes for seriousness, though I sorta felt that it didn't go anywhere in the end.
Some people have also recommended Gilgamesh for this sort of thing, though I haven't seen any of it yet so I can't say anything about it.
..whew. I feel like I posted this before. Maybe this forum should just keep pinned threads at the top for the most commonly-requested types of anime?
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