Ergo Proxy. Bar none.
Funnily enough, a friend of mine who was trying to get me into anime showed me the first few episodes as an example. And, to be fair, they got me intrigued. It did that whole 'playing it's cards close to the chest' thing really well, and got me very interested in the complex mysteries it wove. Years later (a few months ago) I remembered it, and got the box set.
It kept up the mystery and intrigue for episode after episode, constantly assailing me with scene after scene of vague, pretentious, aloof dialogue that was near incomprehensible. At the time, I thought this was simply a rather daring move, keeping it's secrets until the final episodes.
Then, without any explanation, the characters appear on a game show. For a whole episode.
Let me reiterate: the main characters go from a grim, dark, post-apocalyptic world to a fun, campy gameshow without any explanation whatsoever... and then go straight back to the above-mentioned grim landscape off-screen, not bothering to explain what just happened or why. You can't even dismiss it as a fantasy or a dream, as another character watches the gameshow on TV and learns important information from it!
Then, oh but then, comes the final episode. You'd imagine they'd use this important half hour to wrap up the storyline and explain everything that has occurred thus far.
Do they bollocks. Instead, we just get more vague, overwritten dialogue that doesn't make sense for another half an hour, and then it just stops. Yippee.
If the above rant didn't tip you off, here is Ergo Proxy in a nutshell:
great opening that builds mystery... building it... still building it... building it to unbelievably confusing and impossible-to-explain levels that require entire essays just to figure out what the flying fuck is happening... end.
Dear God I hate this series.
And don't come to me trying to explain the 'clever symbolism' and 'intricate, subtle mechanics of the storyline'. My point is this: such things are appropriate when there is a strong foundation that an average layman will enjoy. You can talk about the symbolism in Fritz Lang's Metropolis until the cows come home, it's still a bloated mess that goes nowhere and has one of the stupidest endings imaginable. Then take a movie like The Wizard of Oz. Sure, there;s been plenty said on it's supposed gay subtext and the like, but remember: an average person can still enjoy it as just a magical tale of a teenage girl being swept away into a fantasy land. That's my problem. Symbolise whatever you want in a story, but if I can't enjoy a story without knowing about the subtexts and symbolism, it's not a good story.