I haven't watched Serial Experiments Lain yet because I have been lazy, but I have heard good things about it.
Anyway, Paranoia Agent is a good one. I could tell you what it's about but I'm afraid I might spoil the idea behind it. It's sort of short and it's interesting enough.
And... one that I personally love so far, mostly because of the visual novel, is Umineko no Naku Koro ni. It's a horror mystery novel that deals with the paranormal but raises some interesting questions: is the concept of "fate" real? If so, is it possible to escape your fate? What is real and what isn't? If something can't be perceived by our senses, is the reason behind it "magic"? If you had the power to endlessly kill and revive someone, would human lives lose their value?
It's not as deep as other series out there, though.
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