Puella Magi Madoka Magica.
Everyone has a friend they trust absolutely for advice on one topic or another. For me, I absolutely trust my anime recommendations from my friend Claire. Shows like Puella Magi Madoka Magica are the reason why.
Though it starts out like the typical mahou shojo anime (see Cardcaptor Sakura, Sailor Moon), it quickly shows that it dares to be so much more. In its twelve-episode run, it creates a dark and eerie world, sympathetic characters, and a situation so complex that it genuinely challenges you to consider your morals. Plus, it's got awesome animation and music to boot.
I'm pretty serious about spoilers. I can't really tell you a lot, since it jumps right into the action. But trust me. You'll want to check it out.