Paranoia Agent (妄想代理人, Mōsō Dairinin?) is a Japanese anime television miniseries created by Japanese director Satoshi Kon and produced by Madhouse about a social phenomenon in Musashino, Tokyo caused by a juvenile serial assailant named Lil' Slugger (Shōnen Bat, or Bat Boy in the original Japanese version). The plot relays between a large cast of people affected in some way by the phenomenon; usually Lil' Slugger's victims or the detectives assigned to apprehend him. As each character becomes the focus of the story, details are revealed about their secret lives and the truth about Lil' Slugger.
It's classified as a psychological horror, and that it is indeed. There was a huge buzz about it just before it was aired here on Adult Swim, back in '05. I don't think anyone anticipated it to be as dark as it was, though. Not to mention, the theme song is deceptively sunny (one of them... opening or ending, can't remember which). When it originally aired, I only caught the first two or three episodes, but I revisited it two years later, having missed the second (and final) run of it on cable in 2006.
I made the mistake of watching all 13 episodes in one sitting. If you stop watching, it's hard to remember everything that happened, and even the smallest details are key to understanding and unlocking the mystery of Lil' Slugger. And with the story jumping around so much to characters you only meet for one episode, it's easy to get lost. The whole time you're watching, you're not really sure what's going on. But in the end, when it all comes together, everything makes sense.
This story is a masterfully written mystery, suspense, and horror piece. Definitely not like your run-of-the-mill shounen ninja/kawaii monster tamer anime. Something for us adults, truly.
Check out Paranoia Agent if you ever get the chance. I highly recommend it.