If you mean series, then Paranoia Agent is personally my favorite Anime. I don't feel like going into detail right now, but I like how each episode, except for maybe the final 3, all stand alone as their own isolated stories and incidents that all end up connecting with one another. The characters aren't flat and all look distinct, which is a minor issue I find even in anime with cool concepts. It's a cool 13 episodes which I think works perfectly, the pacing feels nice and the stories are all interesting and often dark without feeling forced. It's good even down to the intro and outro themes, a lot of anime have poppy or emo sounding music which turns me off, but this one pulls off a great soundtrack. I'm just gushing now, but I recommend it.
When it comes to movies I point back to Satoshi Kon again. Paprika and Tokyo Godfathers are two good ones.