Ergo Proxy was one of those anime where I was like "wtf is going on" the first time through. Watching it a second time, it all mostly made sense, however.
Anime that has me going "wtf" regardless of how many times I've seen them? Well, honestly, none. Google tends to answer any questions I have if I still have no idea what's going on after the fifth time watching something.
I will say that it is an incredibly rare anime ending that I actually really liked. While I get that in real life, things don't just conveniantly end, I don't think it's that much to ask for real conclusions in a work of fiction.