You have Madoka Magica on "Want to watch". Gogogo right now. Crunchyroll. For some reason it doesn't even have ads. Now. I don't care if you have work, or college, or high school, or whatever. Marathon it nao.
Fate/zero as was mentioned prior.
Not enough people have mentioned Future Diary AKA Mirai Nikki. That should probably be exactly what you're looking for.
Another is also a super-good choice. It's not out-and-out action (actually, there's no action at all) until the very end, but it's dark, and it's good stuff. Very pleasantly surprised when I watched it.
Code Geass is, as someone above mentioned, not actually what you're asking for, but it's amazing and the emotional tension is amazing, so you'll likely enjoy it. It's my personal favorite anime. Also, I like the second season more than the first, because I'm a rebel.
Higurashi I have not seen, but by reputation alone I would recommend it.
And general, off the top of my head, not-actually-what-you're-asking for stuff that is good:
Trigun, Angel Beats, Baccano, Lucky Star because why the hell not?, Kokoro Connect, Sword Art Online, Haruhi Suzumiya, Evangelion, Gurren Lagann, Spice and Wolf, Gundam 00, Accel World, and...um...Durarara!!