Code Geass just had me pumped through the entire series. One could perhaps argue it's not the best plot-wise, (especially half way into R2 where it gets rather convoluted), but it's still entirely entertaining, none the less. Probably would consider it my favorite, so far.
Death Note was pretty entertaining, at least through episode 25. Once it got to the Near/Mello stage, it started losing steam, in my opinion. Still a great one as far as psychological thrillers go.
Other ones I'd consider worth mentioning in the same breath:
Elfen Lied
Hellsing
Gantz (Though, manga > anime in this case)
Full Metal Alchemist
If you're looking for more Comedy, Romance (or both):
The (Melancholy/Disappearance) of Haruhi Suzumiya (If E8 doesn't kill you...)
Clannad / AS
Lucky Star
Toradora!
I'm sure there are a lot more I forgot to mention... Ah well. Anyone have any anime suggestions give the above list? I'm always looking for a good story...