I'll second
Shigofumi.
Have you seen the new series
C? As for other titles,
Ghost Hound springs to mind, and of course
Serial Experiments Lain .
Princess Tutu also fits the criteria (though it is nowhere near as dark as the other stories), and since it is the one of most prominent predecessors of
Madoka, you just might like it. Of course,
xxxHOLiC also partially fits.