Gunslinger Girl (first season only).
It has a truly unfortunate name because it gives the impression of an over the top loli romp with guns, but that's about as far from the realty of the show as you can get. It's a melancholy drama, although not in the usual sense: it's not about the plot or dramatic things happening, but a slower contemplative piece on the relationships and the brutal mismatch between what should be and what is. These are then reinforced by excellent art direction for the existential mood and a classical sound track that captures the setting and emotions brilliantly.
Short example:
[video=youtube;GEyRseg6iP0]http://www.youtube.com/watch?v=GEyRseg6iP0[video]
Edit: I can go on in greater detail but unless somebody wants to know it I think I'll just leave it at the above statement for now.