I've been watching a fair amount of anime recently, and for the first time, I can stop by this thread and actually understand the conversation.
I think my favorite of all time is Outlaw Star. Every single episode advances the plot in some way. I watched it a bit when it was on Toonami when I was a kid, but revisited it this year and watched the whole thing. While I was nostalgic for it, the show is really cool even now. I think it's a must-see if you haven't already watched it.
Another anime I saw as a kid was Yu Yu Hakusho. I guess I was a bit forgetful, because I only remembered the first couple of episodes. I was a bit nostalgic for it, but it wasn't as good as I remembered. It had some really strong episodes, but the fourth season got so bad I wasn't able to finish it. Stop suffering from Saiyan Syndrome, Yusuke.
I enjoyed a few other series, my favorites were Code Geass (mecha), Valkyria Chronicles (adventure), Watamote (humor).