These animes may interest you..
Devil May Cry: Dante can transform into a devil, so I guess it fits the description.
Ga-Rei -Zero-: Although yomi-chan isn't the protagonist but she does seem that way for the first half of the series anyways.
Higashi no Eden: Takizawa Akira is somewhat of an anti-hero as that the guy runs around involved in some non-sensical conspiracy involving stolen SDF missiles, as well as countless covered-up murders.
Kara no Kyoukai: Ryougi Shiki goes around killing people due to her powers, even though she fights against the evil yet most people will most likely consider her as evil as well.
Kurogane no Linebarrels: Hayase Kouichi is a justice freak and thus, his actions will most likely look like Yagami Light's. To the neutral crowd, the guy is plain evil.
Nabari no Ou: Miharu Rokujou is definitely no hero, he does everything for Yoite which makes no sense at all.
Shikabane Hime: Hoshimura Makina is an undead, she definitely don't fit in with the Kougon cult as that the undead cannot live with the living or the holy. Thus, she is somewhat of an anti-hero.
Tokyo Majin Gakuen: Heroes from legends and fairytales do not turn into demons, yet Tatsuma Hiyuu does turn into one. Does it make him an anti-hero too?
Tower of Druaga: Neeba is definitely an anti-hero, he seeks to become the next Druaga.
Yakushiji Ryoko no Kaiki Jikenbo: Oryo-san fights against the government and the military, anti-hero is she not? She also fights against the traditional amakudari practices and upsets many career bureaucrats.