Yeah, it's damn good. Always a good sign when you're left feeling kind of melancholy when you finish a series. Shows how awesome it was.
Hmm. Well, you could try Neon Genesis Evangelion, despite my just bitching about the MC in my previous posts. It's damn good, despite Shinji being a wiener. In a way like Madoka, it's got young people living in a world that asks way too much of them and we observe how each of them handles it (or doesn't). And like Madoka, it's got some pretty intense fights and dramatic moments.
Then, some stuff which I haven't seen myself, but are definitely on my to-watch list (as I've only heard good things about both), you could check out
Darker than Black or
Serial Experiments Lain. Both seem to have that kind of darker, brooding vibe with moments of intensity, like Zero and Madoka.